我国股权分置改革市场反应的实证研究

Empirical Study on Market Reaction of Non-tradable Shares Reform in China

本文对我国1218家股权分置改革公司在股改期间股票的市场反应及其影响因素进行实证研究。研究表明:(1)股改公司的股票存在显著为正的累计超常收益,并且市场对股改公司的股票存在明显的提前反应;(2)股改公司股票的市场表现总体上呈现明显的"过度反应—修正"模式;(3)流通股东所获得的对价比率高、流通股东对股改方案支持度高的公司,股票的市场表现较好;(4)股改前的公司治理水平和流通股价/账面价值对股票的市场表现没有影响;(5)实证结果显示,投资者仅仅将股权分置改革视为一个短期的题材,而对其能给中国股市带来多大的长期效应缺乏信心。

Based on 1 218 companies experiencing non-tradable shares reform, the paper makes an empirical study on market reaction and the factors affecting the market reaction during the period of reforrr. The results indicate that： （1） There is significantly positive accumulated abnormal profit in reformed companies and the market reacts obviously to reformed companies in advance; （2） The market performance of reformed companies presents an obvious overreaction--amendment mode; （3） The higher consideration ratio tradable-share holders obtain and the higher tradable-share holders support the share-reform plan, the better reformed companies perform; （4） The corporation governance before reform and price to book value（M/B） have no impacts on market performance; （5）These empirical results show the investors regard non-tradable shares reform as only a shortterm issue and lack confidence in the long-term effect on stock market in China brought by non-tradable shares reform.