对股权分置改革的事件法研究

The Event Study of Split Share Structure Reform

股权分置是一直困扰中国股票市场的制度性缺陷,本文运用事件研究方法分析从全面开展股权分置改革以来,股票收益是否与非流通股股东支付的对价比例成正相关,然而实证研究结果否定了股价与对价比例成正相关的假设。本文认为主要原因在于目前市场已对解决股权分置问题形成了较稳定的预期,理性的投资者在选择股票时将更注重公司的内在价值。因此股权分置改革的推进的实际意义在于增加投资者信心,而非仅提供投资者一段时期的套利机会。

The split share structure has been blamed as the key culprit for China＇s stagnant stock market, and the reform is the ＂most significant＂ in the country after the nation set up the stock market in the 1990s. This paper made an event study to test whether investor could get abnormal return during split share reform process. The empirical results indicate that is no abnormal return of the share when companies take part in the split share reform; it is different from common anticipation. Both standardized abnormal market return and cumulative total standardized abnormal market return differed significantly from zero. This paper argues although the reform is the most significant in the share market, the rational investor will not anxious to purchase the share in order to get additional share as compensation. The intrinsic value of listed company determined the price of share is gospel.