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我国股权分置改革中的市场参与:一个复合的事件分析
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投资学
资本市场资本市场
    股权分置,是我国经济转型和资本市场发展过程中出现的特殊现象,也为我国资本市场的发展带来一系列负面影响。2005年9月,经过两轮试点,股权分置改革在我国全面展开。本文在总结股权分置改革相关文献研究的基础上,基于市场参与的角度,对我国股改中流通股东之间的博弈、流通股东与非流通股东之间的博弈、异质信念和股改后的市场反应进行研究。研究由三个命题构成,提出三个理论假设,并且利用我国2006年12月30日之前已成功完成股权分置改革、仅采用“股份对价”形式的523家沪深上市公司的股改数据为研究样本,运用复合的事件分析方法,将股权分置改革分解为多个事件、多个窗口期,对假设进行实证检验,得到一些有意义的研究结论,具体如下:
    第一,本文通过细分股改前流通股东结构,发现流通股东结构显著影响中小投资者的市场参与度,中小投资者倾向于认为机构投资者将损害自己的利益,而大户与自己有一致的利益诉求,将会维护自己的利益。第二,从市场参与的角度看, 流通股东的市场参与度越高,对股改方案的满意度越低,预案公告复牌后市场的超额收益率越低,说明股改中流通股东的谈判能力并没有得到很好的体现和发挥;并且,流通股东谈判能力的发挥体现在非流通股东的让步,做出更重的附加承诺,然而,实际上这种谈判能力是微乎其微的,股改并没有维护流通股东的利益诉求。第三,异质信念是影响股改后市场反应的一个重要因素,并且随着股改方案附加承诺轻重的不同,异质信念对股改后市场反应的影响程度也不同。当流通股东做出最低流通价格承诺时,投资者对方案的意见分歧程度最大,异质信念对股改后市场反应的影响最大。
    在本文研究的基础上,笔者从改革的基础、投资者利益保护以及信息质量方面对我国证券市场的新一轮改革以及长远发展提出以下几点政策建议:(1)改革必须坚持“公平、公正、公开”原则,兼顾市场参与各方的利益诉求,建立在充分的市场参与的基础之上;(2)从制度的角度切实保护改革中的弱势群体;(3)提高改革措施中信息的透明度和确定性,维护改革前后市场的稳定。 [英文摘要]:     Non-tradable Share is a special phenomenon in the process of economy transition and capital market development of China, and it restricted the healthy and benign development of capital market. On September, 2005, after two rounds of pilot project, Non-tradable Share Reform took place on all the listed company in China.
    Based on an overall review of relative studies on Non-tradable Share Reform, from a prospect of market participation,this paper studies the game between tradable shareholders, and the game between tradable shareholders and non-tradable shareholders in the process of the Reform, and heterogeneous belief and the market reaction after the Reform. From these three aspects, this paper proposes three theory hypotheses, and uses Composite Event Study Methodology to testify them. The studying sample of this paper consists of 523 Chinese Listed Companies, which successfully finished the Reform before 30th Dec of 2006 and only use share as compensation.
    The conclusions are outlined as follows:
    First, through an analysis of the structure of tradable shareholders before the Reform, we find that the structure of tradable shareholders has a significant effect on the investors’ market participation; the investors believe that institutional investors will infringe their benefits, but major individuals have the same benefit with them, will protect their interests.
    Secondly, from a prospect of market participation,the more market participation of tradable shareholders, the less satisfaction of the Reform Proposal, and the less CAR of the Proposal announcement. The bargaining power of the tradable shareholders was not fully reflected in the Reform, but only reflected in the concession of non-tradable shareholders to make additional promise; however, in fact such negotiating power is minimal. Therefore the Reform did not protect the interest of tradable shareholders.
    Thirdly, heterogeneous belief is an important factor that affects the market response after the Reform, and this effect is different on different Additional Commitments. The degree of opinion difference on the Proposal is heaviest when the non-tradable shareholders promised a minimal tradable price, and on this situation, the heterogeneous belief affected the market response most.
    Based on these conclusions, this paper proposes three policy recommendations: (1) Only taking the interest of all market participants into account, the Reform can adhere to the "fair, just and open" principle completely setting at the basis of market participation; (2) Regulators should protect disadvantaged minority in the reform from the angle of System construction; (3) The Reform should improve the information transparency and assurance to maintain the stability of stock market before and after the reform. [参考文献]:     [1] 陈欣慰 谢绵陛.博弈论视野下的股权分置改革[J].特区经济,2006,1:160-161.
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