股权分置改革中的“实惠效应”与“未来效应”

Announcement Effects and Execution Effects in Nontradable Shares Reform

股权分置改革是我国资本市场发展中的一个重要事件,在股权分置改革中投资者能否获得超额收益值得关注。本文将股权分置改革事件划分为两个子事件——股权分置改革宣告和股权分置改革实施.对1264家公司股权分置改革中的超额收益研究表明:①投资者在两个事件中平均都能获得正的超额收益;②在股权分置改革宣告事件中。投资者更注重股权分置改革的"实惠"——对价的高低;在股权分置改革实施事件中。投资者更注重企业的"未来"——非流通股未来带来的扩容等:③股权分置改革中存在"均值回归"现象。如果公司股权分置改革宣告事件中的累计超额收益较高(低)。则股权分置改革实施事件中的累计超额收益会较低(高)。短期内投资者能够从股权分置改革中获利.但股权分置改革并没有从根本上化解全流通带来的市场恐惧.股权分置改革中存在的内幕交易和市场操纵更是降低了市场的公信力。

Whether there is positive CAR in Chinese Nontradable Shares Reform is an important question in Chinese stock market. We divide Nontradable Shares Reform event to two different events. One is the announcement event, and the other is the execution event. This paper examines the cumulative abnormal return of 1264 companies which had completed Nontradable Shares Reform. Firstly, we find that there is positive CAR in both events. Secondly, the main factors which affect the CAR are different to two events. The main factor which affects announcement event is the consideration. The main factors which affect executive event are the percent of nontradable share before reform etc. Last, there are significant negative correlation between the CAR in announcement event and the CAR in execution event.