上市公司控制权转移的市场反应研究  

Study on Market Response to Control Right Transfer of Listed Company

作　　者：王培欣[1] 谭雪[1] 

机构地区：[1]哈尔滨工业大学管理学院,哈尔滨150001

出　　处：《管理科学》2013年第6期48-57,共10页Journal of Management Science

摘　　要：上市公司控制权转移的市场反应及其影响因素是实证会计研究的重要议题。在梳理控制权转移的方式、提炼和分析控制权转移市场反应影响因素的基础上,选取2007年至2011年第一大股东发生变更的上市公司为样本,采用事件研究法从发生控制权转移的上市公司股价变动的累计平均超额收益角度检验控制权转移的市场反应,运用多元回归法分别检验控制权转移的市场反应的影响因素。研究结果表明,全窗口期(-20,20)股价变动的累计平均超额收益率为13.549%,以事件日为临界点,呈现出先剧烈后舒缓的增长趋势,直至增长态势消失,说明存在信息提前泄露的情况,控制权转移的信息在事件日前已经被消化;行业变更、高管变更、转让价格与二级市场价格的比值、高管持股变更、现金支付等因素使投资者获得更高的超额收益,而转让方式影响不显著;转让价格的影响最显著,说明转让价格在控制权转移市场反应中的敏感性高。研究结果为控制权市场的规范和监管提供依据。The influencing factors of and the market response of the listed company＇s control right transfer is a momentous topic of empirical research of accounting. On the basis of defining the meanings of control right transfer, extracting and analyzing the fac- tors affecting the market response to control right transfer, this paper selected the listed companies whose largest shareholder changed between 2007 and 2011 as samples. Firstly, it validated the extent of the market response to control right transfer by method of event study from the cumulative average abnormal returns （CAAR） in the listed companies, which the control transfer occurred. Secondly, it validated the influencing factors of the market response to control right transfer by method of multiple re- gression. The result of calculating CAAR between the whole window period （ -20, 20） was 13. 549%. Furthermore, the event date was the critical point of the extent of growth. CAAR increased dramatically before the event date and slowly increase to stabil- ity. The result indicates that the information leakage exists and that the information of control right transfer has been digested. In addition, the companies that changed industries, changed senior executive, had high transfer price compared with secondary mar- ket, changed senior executive ownership, and paid in cash had higher excess returns. However, the factor of transfer method has not been verified. At the same time, the empirical result showed that transfer price is the most significant factor. It revealed the high sensitivity of transfer price in the market response to control right transfer and provided guidance for the control market regu- lation and supervision basis.

关 键 词：控制权转移 市场反应 累计平均超额收益率 事件研究法 

分 类 号：F275.6[经济管理—企业管理]