创业板上市公司大股东减持的时机选择与市场反应  

The Opportunity Choice and Market Reaction of Large Shareholders’ Sales in Listed Companies of GEM

作　　者：谢赤[1] 王利君 XIE Chi;WANG Li-jun(School of Business Administration,Hunan University,Changsha 410082,China;Center of Finance and Investment Management,Hunan University,Changsha 410082,China)

机构地区：[1]湖南大学工商管理学院,湖南长沙410082 [2]湖南大学金融与投资管理研究中心,湖南长沙410082

出　　处：《华东经济管理》2019年第8期136-142,共7页East China Economic Management

基　　金：国家自然科学基金项目“复杂金融网络动态演化行为与危机传染及其控制研究”(71373072);国家自然科学基金项目“基于时频分析的证券市场间风险溢出研究”(71340014);高等学校博士点专项科研基金项目“耦合实体经济的金融市场风险评估与协同监管研究”(20130161110031)

摘　　要：文章以深圳证券市场创业板上市公司为样本,从短时间窗口的视角考察其大股东减持的时机选择以及减持后的市场反应。实证研究结果显示,创业板上市公司大股东在减持时进行了精准的时机选择;而市场认为大股东减持传递出公司估值偏高、业绩不佳的信号,对此表现出强烈的负面反应。进一步研究发现,控股股东在减持过程中获得的超额收益高于非控股股东;低账面市值比公司股东获得的超额收益高于高账面市值比公司股东;高市盈率公司股东获得的超额收益高于低市盈率公司股东;绩差公司股东获得的超额收益高于绩优公司股东;小规模公司股东获得的超额收益高于大规模公司股东。基于此,从加强监管、完善信息披露等角度提出相关建议。Taking the GEM listed companies in Shenzhen Stock Market as samples,this paper examines the timing and market reaction of major shareholders’reduction from the perspective of a short time window.Empirical results show that the majority shareholders of GEM listed companies make precise timing choices when reducing their holdings,while the market believes that the reduction of the majority shareholders conveys a signal of high valuation and poor performance of the company,which shows a strong negative reaction.Further research finds that the excess earnings of controlling shareholders are higher than those of non-controlling shareholders in the process of reduction.The excess earnings obtained by shareholders with low book-to-market value ratio are higher than those of shareholders with high book-to-market value ratio.The excess earnings of shareholders in high P/E ratio companies are higher than those of shareholders in low P/E ratio companies.The excess earnings of the shareholders of performance-poor companies are higher than those of the shareholders of performance-well companies.The excess earnings of small-scale shareholders are higher than those of large-scale shareholders.Based on this,this paper puts forward relevant suggestions from the perspective of strengthening supervision and improving information disclosure.

关 键 词：创业板 大股东减持 时机选择 市场反应 

分 类 号：F276.6[经济管理—企业管理]