我国上市公司股权分置改革效率及其影响因素的实证研究.doc

我国上市公司股权分置改革效率及其影响因素实证研究摘要：股权分置改革影响了中国证券市场个股收益率和上市公司的市场价值。本文选取全面股改前40批749家公司作为有效样本，以超常收益率AR、累积超常收益率CAR作为度量股权分置改革效率的指标，利用事件研究法，探讨了上市公司股权分置改革的效率，以及累积平均超常收益率ACAR通过对比不同批次、不同交易所、不同板块和不同对价方案股改效率的差别，深入研究了股改效率的影响因素。研究结果表明：股权分置改革对证券市场和上市公司市场价值均产生了积极的影响。高质量公司较多的批次存在较高的超常收益率。深市股东平均要比沪市股东获得较高的超常收益。中小板平均超常收益率要远远大于主板市场。送股和含派现对价方案使投资者获得较高的超常收益。 关键词： 上市公司;股权分置改革;事件研究法;超常收益率; 股改效率 Abstract：influenced the rate of return of the stock market and the market value of the listed companies. Based on the valid sample of 749 listed companies in the front 40 batches, and on the indices of AR, CAR and TCAR, which measures the effect of the reform, and using the way of event study, this paper studies the effect of the split share structure reform. To study the impact factors of the effect of the split share structure reform, this paper researches different batches, different trading posts, different boards and different consideration in contrast with the indices of AAR and ACAR. The study findings reveal that the split share structure reform has positive effect on the stock market and the value of the listed companies. The batch which has more high quality listed companies has higher abnormal return rate. The shareholders which are in Shenzhen trading post acquire higher abnormal return rate than the shareholders which are in Shanghai trading post. SME board has higher abnormal return rate than the main tectonic plate. The way of sending shares and the ways which include sending cashes made the investors acquire higher abnormal return rate. Key words：listed companies; Split Share Structure Reform; event study; abnormal return rate; the efficiency of Split Share Structure Reform 一、引 言 中国的股份制改革经历了两个阶段，一是20世纪90年代初期的上市公司股份双轨制；二是2005年开始的股权分置改革。股权分置是指A股市场的上市公司部分股份上市流通，其余部分暂不上市流通的现象。股权分置作为历史遗留的一个制度缺陷和中国资本市场上特有的结构问题，在多方面制约了我国资本市场的规范发展 [1]。股权分置造成了两类股东利益来源不一致和控股股东扭曲的战略行为，客观上使得上市公司治理绩效的下降 [2-3]。股权分置问题导致我国上市公司股权结构不合理，造成了上市公司中流通股与非流通股并存的股权结构，严重影响我国资本市场资源优化配置的效率和上市公司科学治理结构的建立 [4-6]。2005年4月中国证监会发布了《关于上市