上市公司大股东增持的市场时机选择能力及其影响因素研究  

Research on the Market Timing Ability and Its Influencing Factors in Major Shareholders' Stake-raising for China's Listed Companies

作　　者：姜英兵[1] 张晓丽[1] 

机构地区：[1]东北财经大学会计学院中国内部控制研究中心,辽宁大连116025

出　　处：《经济管理》2013年第12期88-99,共12页Business and Management Journal ( BMJ )

摘　　要：本文对大股东增持股票的市场时机选择能力进行了研究。以沪深两市2008年8月27日~2012年12月31日持股5%以上的大股东通过集合竞价系统增持上市公司股票的行为作为样本,采用月度数据,通过对大股东增持时间、增持比例和增持价格三方面的研究,发现大股东在增持时普遍进行了市场时机选择。在此基础上,进一步研究了大股东增持择时能力的影响因素,证实大股东增持的择时能力受其持股性质、增持比例、公司近期的股票走势和未来成长性的影响。This paper has first studied the market timing ability of the major shareholders when they increased their share holdings. Using listed companies＇ monthly data between August 27, 2008 and December 31, 2012 in Shanghai and Shenzhen Stock Exchanges whose big shareholders holding more than 5% stake have increased their own stake through the call auction system, the paper finds that the major shareholders have generally performed a market timing in three ways ： the time, proportion and price of stake raising. Basing on the main results, the factors which may affect the major shareholders＇ ability of market timing are further studied. This paper have shown that the major shareholders＇ ability of market timing is affected by the major shareholders＇ equity nature, their stake raising proportions, the company＇s recent stock price movements and future growth. Major shareholders＇ stake-raising is a behavior of major shareholders continuing to purchase stocks in the secondary market in order to boost investors＇ confidence and an insiders＇ action emerging after the split share structure reform. According to the market timing theory, when a stock is undervalued, the listed company should repur- chase its stocks, however, there are fewer companies repurchase stocks which are undervalued because of strict legal regime and low capital liquidity in China. Thus, major shareholders whose interests are closely related to stock try to boost stock price by stake-raising especially when the share price is low. The CSRC revamped regulations about stake raising on August 27, 2008 in Administrative Methods of Listed Companies＇ I^rchase, which aims at encouraging and regulating major shareholders＇ stake-raising behaviors. Sev- eral relevant papers focus on the motivation and market reaction of major shareholders＇ stake raising. Based on the research outcomes so far, the paper tries to answer the following questions： whether the major shareholders perform market timing when raising stake？ Which factors can inf

关 键 词：大股东增持 市场时机选择 增持比例 增持价格 影响因素 

分 类 号：F830.9[经济管理—金融学]