中国上市公司送转股的行为动机
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摘要
金融市场微观结构理论主要研究在既定的市场微观结构下金融资产的定价过程及其结果，从而揭示市场微观结构在金融资产价格形成过程中的作用。市场微观结构与公司金融的融合可以更为深刻的分析上市公司的财务决策和市场投资者对财务事件的反应和评价，对公司后续财务决策具有重要意义。本文基于市场微观结构研究我国上市公司频繁采用的送股和转增股事件。由于上市公司频繁实施送转的前提是送转后的表现与管理层动机一致，因此，本文从送转的市场反应、市场影响及投资者行为等方面出发，通过分析送转前后市场及投资者的行为变化来分别检验信号传递假说、流动性假说、交易边界假说等理论在我国的适用性，然后据此提出一种新的假说——引起关注假说来解释我国上市公司实施送转的真实动机。
本文针对上市公司送转股事件，结合市场微观结构理论和国外股票分拆的研究，主要展开如下研究：(1)送转的市场反应研究。通过对送转公告日和除权日超额收益的计算和影响因素的分析探讨投资者如何评价公司的送转行为并分析送转是否包含相应信息。研究发现：投资者对于送转公告普遍给予正面评价，而在除权日普遍存在负向反应。管理层持股比例、收益波动等因素显著影响投资者的反应程度。另外，基于Logit模型的研究表明，上市公司的送转动机可能在于做大公司规模。(2)送转的市场影响研究。通过分析送转前后流动性和波动性的变化探讨投资者行为的变化及送转动机，并检验流动性假说在我国的适用性。分别构建市场微观结构下的流动性和波动性指标并采用非参数方法检验送转前后两者的变化。另外，还根据一些公司特征和送转特征分组检验流动性和波动性的变化。结果表明：送转后基于市场微观结构度量的流动性并未显著变化，而日数据度量的流动性却显著改善。表明我国投资者对送转概念的偏好而普遍参与并导致基于日数据度量的流动性改善，但投资者面临的交易成本却未发生变化，故流动性假说在我国的解释力有限。送转后无论是日内价格波动还是日收益波动都显著增加，意味着噪声交易增加，同时股票价值也在发生变化。送转比例和公司规模显著影响波动性的变化。(3)送转与信息不对称程度的研究。通过估计LSB模型和EKOP模型来测量信息不对称程度，然后基于非参数检验检验送转前后的变化。结果发现：送转前后信息不对称程度并未显著变化，表明信号传递假说在我国不适用。值得注意的是知情交易者和非知情交易者的到达率在送转后却显著增加。市场行情显著影响送转前后信息不对称程度的变化。(4)送转与投资者行为的研究。通过对投资者构成及其交易行为分析检验交易边界假说在我国的适用性。首先基于交易规模划分投资者类别，并比较送转前后投资者构成。发现送转后个人投资者、机构投资者及大户数量都显著增加，意味着公司股东人数增加。同时，由于机构和大户占比上升导致股权集中度增加。然后构建投资者下单主动性的指标，研究送转前后投资者下单主动性的变化模式及影响因素。结果表明：送转后投资者下单主动性降低，影响投资者下单主动性的因素在送转前后有所不同。送转后股价波动和下单规模分别正向和负向的影响了投资者下单主动性，其原因在于更多个人投资者或散户的参与到送转后的股票交易中。
基于上述分析，提出了关于我国上市公司送转动机的假说——引起关注假说：当证券市场中公司价值评价体系效率低下和投资者偏好股票股利时，上市公司为了达到做大公司规模的目的，通过实施送转来显示公司良好的历史业绩并以此吸引市场的普遍关注。然后依赖于包括个人投资者、机构和大户的增加及对公司内在价值重新评估的基础上使得股价上涨并导致公司规模增大。但由于投资者对公司内在价值的重估差异是较大的，要真正达到做大公司规模的目的还必须得到大部分投资者的普遍认同，这必须要以稳定的业绩增长为基础。只有能经历市场考验并呈现出较好业绩的公司才能真正实现做大公司规模的初衷。
The study of financial market microstructure theory focuses on the process of assets pricing and its results under the established of market microstructure, which reveals the impacts of market microstructure on the price formation process of financial assets. The integration of market microstructure and corporate finance can be more profound analysis of the financial decision and the reactions of investor, which has remarkable significance to the following financial decision. Based on market microstructure, this paper analyzes the stock dividend and transfer of reserve to common stock of China's listed companies. The premise of frequent stock dividend and transfer of reserve to common stock is coherent with performance after ex-dividend and management motivation, so this article focuses on the market response, the impact on market and investor behavior, through analyzing the performance of markets and investor between before announcement and after ex-dividend, test the signaling hypothesis, liquidity hypothesis, trading range hypothesis, and then provide a new hypothesis which can perfectly explain the management motivation of stock dividend and transfer of reserve to common stock.
Based on market microstructure theory and relative research about stock splits, the paper starts the research by following: (1) the market reaction of stock dividend and transfer of reserve to common stock. Through the calculation of CARs of the announcement date and ex-dividend date and the analysis of their determinants, this paper discusses investor reaction and the information content of stock dividend and transfer of reserve to common stock. The results show that investors have positive evaluation on the announcement date and negative response on the ex-dividend date. Management ownership, return volatility have significantly affect investor reaction. In addition, the results of Logit model studies show that the motivation of stock dividend and transfer of reserve to common stock may lie in expanding firm size.
(2) The stock changes around stock dividend and transfer of reserve to common stock. Through analyzing the change of liquidity and volatility between before announcement and after ex-dividend, this paper discusses the change of investor behavior and management motivation, then tests the applicability of liquidity hypothesis in china's stock dividend and transfer of reserve to common stock. Based on market microstructure, the paper sets liquidity and volatility indicators and use non-parameters test to analyze the change of liquidity and volatility. In addition, according to firm characteristics and the features of stock dividend and transfer of reserve to common stock, group and test the changes of liquidity and volatility. The results show that liquidity indicators based on market microstructure don't change significantly, but liquidity indicators based on date data significantly improve, which reflects that investors prefer to stock dividend and actively participate, leading to liquidity based on date data improve, but investors' transaction costs don't change. Therefore, the explaining power of liquidity hypothesis in our stock market is limited. Intraday-volatility and daily return volatility after ex-dividend significantly increase, which means the increase of noise trading and the change of stock value. The factors of stock dividend and transfer of reserve to common stock and firms' size affect significantly the changes of volatility. ( 3 ) Stock dividend and transfer of reserve to common stock and information asymmetry. Through estimating the LSB model and the EKOP model to measure the degree of asymmetry information, use non-parametric test to compare the change of asymmetry information. The results show that the degree of asymmetry information doesn't change remarkably, which indicate that the signaling hypothesis does not apply in China's stock market. It is worth noting that informed traders and non-informed traders have significantly increased after ex-dividend. In addition, the trends of market significantly impact the changes of asymmetry information. (4) Stock dividend and transfer of reserve to common stock and investor behavior. Through analyzing the structure of investor and their trading behavior, test the application of the trading range hypothesis. Firstly, identify the types of investors according to transaction size, and then compare the changes of investor constituted. The results show that the number of individual investor, institutional investor and large investor increase significantly, which means the increase of the number of shareholders. At the meantime, the increase of the proportions of large investor and institutions investor lead to the increase of ownership concentration. And then, construct the indicators to measure investors order aggressiveness and research the change pattern and the determinants. The results show that investor's order aggressiveness significantly decline after ex-dividend, the determinants of order aggressiveness of before announcement are different after ex-dividend. Volatility and order size respectively has positive and negative effects on the order aggressiveness after ex-dividend; the reason is that more individual investor participates after ex-dividend.
Based on the above analysis, the paper proposes the attention-getting hypothesis to explain the management motivation of stock dividend and transfer of reserve to common stock in China's stock market. The hypothesis think that when the evaluation system of stock is inefficient and investor prefer to stock dividend, in order to expand firm size, the listed companies sign the history good information by stock dividend and transfer of reserve to common stock and attract market attention. Because of the increase of investor's pursuit and the re-evaluate about intrinsic value of stock, the share price raise and firm size expand. However, the investor beliefs about stock value are heterogeneous, it is necessary to maintain the steady growth of profit in order to realize the purpose of expanding firm size. Only those firms who experience market test and maintain good performance can really achieve the original purpose of expanding firm size.
本文针对上市公司送转股事件，结合市场微观结构理论和国外股票分拆的研究，主要展开如下研究：(1)送转的市场反应研究。通过对送转公告日和除权日超额收益的计算和影响因素的分析探讨投资者如何评价公司的送转行为并分析送转是否包含相应信息。研究发现：投资者对于送转公告普遍给予正面评价，而在除权日普遍存在负向反应。管理层持股比例、收益波动等因素显著影响投资者的反应程度。另外，基于Logit模型的研究表明，上市公司的送转动机可能在于做大公司规模。(2)送转的市场影响研究。通过分析送转前后流动性和波动性的变化探讨投资者行为的变化及送转动机，并检验流动性假说在我国的适用性。分别构建市场微观结构下的流动性和波动性指标并采用非参数方法检验送转前后两者的变化。另外，还根据一些公司特征和送转特征分组检验流动性和波动性的变化。结果表明：送转后基于市场微观结构度量的流动性并未显著变化，而日数据度量的流动性却显著改善。表明我国投资者对送转概念的偏好而普遍参与并导致基于日数据度量的流动性改善，但投资者面临的交易成本却未发生变化，故流动性假说在我国的解释力有限。送转后无论是日内价格波动还是日收益波动都显著增加，意味着噪声交易增加，同时股票价值也在发生变化。送转比例和公司规模显著影响波动性的变化。(3)送转与信息不对称程度的研究。通过估计LSB模型和EKOP模型来测量信息不对称程度，然后基于非参数检验检验送转前后的变化。结果发现：送转前后信息不对称程度并未显著变化，表明信号传递假说在我国不适用。值得注意的是知情交易者和非知情交易者的到达率在送转后却显著增加。市场行情显著影响送转前后信息不对称程度的变化。(4)送转与投资者行为的研究。通过对投资者构成及其交易行为分析检验交易边界假说在我国的适用性。首先基于交易规模划分投资者类别，并比较送转前后投资者构成。发现送转后个人投资者、机构投资者及大户数量都显著增加，意味着公司股东人数增加。同时，由于机构和大户占比上升导致股权集中度增加。然后构建投资者下单主动性的指标，研究送转前后投资者下单主动性的变化模式及影响因素。结果表明：送转后投资者下单主动性降低，影响投资者下单主动性的因素在送转前后有所不同。送转后股价波动和下单规模分别正向和负向的影响了投资者下单主动性，其原因在于更多个人投资者或散户的参与到送转后的股票交易中。
基于上述分析，提出了关于我国上市公司送转动机的假说——引起关注假说：当证券市场中公司价值评价体系效率低下和投资者偏好股票股利时，上市公司为了达到做大公司规模的目的，通过实施送转来显示公司良好的历史业绩并以此吸引市场的普遍关注。然后依赖于包括个人投资者、机构和大户的增加及对公司内在价值重新评估的基础上使得股价上涨并导致公司规模增大。但由于投资者对公司内在价值的重估差异是较大的，要真正达到做大公司规模的目的还必须得到大部分投资者的普遍认同，这必须要以稳定的业绩增长为基础。只有能经历市场考验并呈现出较好业绩的公司才能真正实现做大公司规模的初衷。
The study of financial market microstructure theory focuses on the process of assets pricing and its results under the established of market microstructure, which reveals the impacts of market microstructure on the price formation process of financial assets. The integration of market microstructure and corporate finance can be more profound analysis of the financial decision and the reactions of investor, which has remarkable significance to the following financial decision. Based on market microstructure, this paper analyzes the stock dividend and transfer of reserve to common stock of China's listed companies. The premise of frequent stock dividend and transfer of reserve to common stock is coherent with performance after ex-dividend and management motivation, so this article focuses on the market response, the impact on market and investor behavior, through analyzing the performance of markets and investor between before announcement and after ex-dividend, test the signaling hypothesis, liquidity hypothesis, trading range hypothesis, and then provide a new hypothesis which can perfectly explain the management motivation of stock dividend and transfer of reserve to common stock.
Based on market microstructure theory and relative research about stock splits, the paper starts the research by following: (1) the market reaction of stock dividend and transfer of reserve to common stock. Through the calculation of CARs of the announcement date and ex-dividend date and the analysis of their determinants, this paper discusses investor reaction and the information content of stock dividend and transfer of reserve to common stock. The results show that investors have positive evaluation on the announcement date and negative response on the ex-dividend date. Management ownership, return volatility have significantly affect investor reaction. In addition, the results of Logit model studies show that the motivation of stock dividend and transfer of reserve to common stock may lie in expanding firm size.
(2) The stock changes around stock dividend and transfer of reserve to common stock. Through analyzing the change of liquidity and volatility between before announcement and after ex-dividend, this paper discusses the change of investor behavior and management motivation, then tests the applicability of liquidity hypothesis in china's stock dividend and transfer of reserve to common stock. Based on market microstructure, the paper sets liquidity and volatility indicators and use non-parameters test to analyze the change of liquidity and volatility. In addition, according to firm characteristics and the features of stock dividend and transfer of reserve to common stock, group and test the changes of liquidity and volatility. The results show that liquidity indicators based on market microstructure don't change significantly, but liquidity indicators based on date data significantly improve, which reflects that investors prefer to stock dividend and actively participate, leading to liquidity based on date data improve, but investors' transaction costs don't change. Therefore, the explaining power of liquidity hypothesis in our stock market is limited. Intraday-volatility and daily return volatility after ex-dividend significantly increase, which means the increase of noise trading and the change of stock value. The factors of stock dividend and transfer of reserve to common stock and firms' size affect significantly the changes of volatility. ( 3 ) Stock dividend and transfer of reserve to common stock and information asymmetry. Through estimating the LSB model and the EKOP model to measure the degree of asymmetry information, use non-parametric test to compare the change of asymmetry information. The results show that the degree of asymmetry information doesn't change remarkably, which indicate that the signaling hypothesis does not apply in China's stock market. It is worth noting that informed traders and non-informed traders have significantly increased after ex-dividend. In addition, the trends of market significantly impact the changes of asymmetry information. (4) Stock dividend and transfer of reserve to common stock and investor behavior. Through analyzing the structure of investor and their trading behavior, test the application of the trading range hypothesis. Firstly, identify the types of investors according to transaction size, and then compare the changes of investor constituted. The results show that the number of individual investor, institutional investor and large investor increase significantly, which means the increase of the number of shareholders. At the meantime, the increase of the proportions of large investor and institutions investor lead to the increase of ownership concentration. And then, construct the indicators to measure investors order aggressiveness and research the change pattern and the determinants. The results show that investor's order aggressiveness significantly decline after ex-dividend, the determinants of order aggressiveness of before announcement are different after ex-dividend. Volatility and order size respectively has positive and negative effects on the order aggressiveness after ex-dividend; the reason is that more individual investor participates after ex-dividend.
Based on the above analysis, the paper proposes the attention-getting hypothesis to explain the management motivation of stock dividend and transfer of reserve to common stock in China's stock market. The hypothesis think that when the evaluation system of stock is inefficient and investor prefer to stock dividend, in order to expand firm size, the listed companies sign the history good information by stock dividend and transfer of reserve to common stock and attract market attention. Because of the increase of investor's pursuit and the re-evaluate about intrinsic value of stock, the share price raise and firm size expand. However, the investor beliefs about stock value are heterogeneous, it is necessary to maintain the steady growth of profit in order to realize the purpose of expanding firm size. Only those firms who experience market test and maintain good performance can really achieve the original purpose of expanding firm size.
引文
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