股票回购公告的跨市场效应:信号传递还是财富转移  

The cross market effect of stock repurchase announcement:Signal transmission or wealth transfer

作　　者：张雪莹[1] 王玉琳[1] 陈萌 Zhang Xueying;Wang Yulin;Chen Meng

机构地区：[1]山东财经大学金融学院,山东济南250014

出　　处：《东岳论丛》2023年第12期97-110,192,共15页DongYue Tribune

基　　金：国家自然科学基金项目“政府债务对货币政策的影响——基于利率传导渠道的研究”(项目编号:71573155);国家社会科学规划一般项目“我国财政风险和金融风险‘反馈循环’及其协同治理研究”(项目编号:21BJY003);山东财经大学国际合作研究项目(2022)。

摘　　要：基于上市公司股票回购公告的样本,考察了股票市场和债券市场对回购预案公告的反应,并检验了信号传递假说和财富转移假说的解释力。研究发现,股票回购预案公告发布后债券异常信用利差显著为正,并且与股票异常回报率的变动显著正相关,表明股、债市场对股票回购公告的反应符合财富转移假说;同时,股票回购新规的出台为上市公司提供了更多的操作便利,进一步加剧了回购公告对债券市场的负面影响及股东和债权人间的财富转移效应。进一步异质性检验,发现当上市公司的计划回购规模较大、回购目的为股权激励、自身回购能力较强以及公司的违约风险较高时,公告发布后的股、债市场之间的财富转移效应更为显著。Based on the sample of share repurchase announcements,thispaper examines the response of stock market and bond market to the announcement of repurchase plan,and tests the explanatory power of the signaling hypothesis and wealth transfer hypothesis.The research finds that the abnormal yield spread of bonds is significantly positive after the share repurchase announcement,and is significantly positively related to the change of the abnormal stock return,indicating that the stock and bond markets'response to the share repurchase announcement conforms to the wealth transfer hypothesis.At the same time,the introduction of the new repurchase regulation has provided more operational convenience for listed companies,further intensifying the negative impact of the repurchase announcement on the bond market and the wealth transfer effect between shareholders and creditors.Through further heterogeneity testing,it is found that the wealth transfer effect between the stock and bond markets after the announcement is more significant when the planned repurchase scale of the listed company is large,the repurchase purpose is equity incentives,the repurchase ability is strong,and the default risk of the company is high.

关 键 词：股票回购预案公告 信号传递效应 财富转移效应 股票回购新规 

分 类 号：F272.3[经济管理—企业管理] F830.91[经济管理—国民经济]