中国上市公司股权转让市场效应的实证研究

An Empirical Study of the Market's Reaction to the Transfer of Shares in China's Listed Companies

本文研究了中国产权改革背景下控制权市场是否有效的问题。根据2003-2004年深沪A股上市公司的214起大宗股权转让记录,本文采用事项研究法研究了股权转让对公司市场价值的影响,并进一步考察了累积非正常回报率的影响因素。本文研究发现(1)股票市场对大宗股权转让的市场反应显著为正。平均而言,股票价格在转让公告前20个交易日开始上涨至公告后一个交易日,累积非正常回报率约为1.15%;(2)转让的价格越高,向市场传达积极的信号,市场反应越好;(3)控制权转让的公司比那些不转让控制权的公司有着更好的反应。

The paper studies the efficiency of the market for the corporate control under the background of China＇s property rights reform. Based on the 214 block shares transfer samples from 2003 to 2004, we analyses the market reaction and its determinants with the event study. The empirical results shows that ： （1） the market＇s reaction is significantly positive, the cumulative abnormal return is about 1.15% from 20 trading days before the event to 1 trading day after the announcement; （2） the higher the relative transfer price, the bigger the reaction; （3） the reaction of those companies transferring control is bigger than those do not have transfer control.