基于股份减持中的大股东隧道行为实证研究

The Empirical Research of the Tunneling Behavior of the Controlling Shareholders Based on the Process of Shares Reduction

以2007～2009年被大股东减持的沪深A股上市公司作为样本,运用OLS与Logistic回归方法,实证分析了大股东通过操纵重大信息披露在股份减持过程中的隧道行为。得出了在减持前30个交易日被大股东减持的上市公司有显著的正累计超常收益,但减持后30个交易日则出现显著的负累计超常收益;被大股东减持的上市公司在减持前披露"利好"消息、减持后披露"利空"消息的概率高;民营控股上市公司大股东操纵上市公司信息披露的概率较高;公司估值(托宾值)越高,大股东信息操纵行为的概率也越大;被减持公司的净资产收益率(ROE)与总资产收益率(ROA)对大股东信息操纵行为的概率不存在显著影响等结论。

The empirical analysis has been done to disclose some controlling shareholders ma- nipulate the disclosure of important information based on OLS and Logistic regression by the data from 2007 to 2009. It is found that firstly, companies have gained positive abnormal earnings 30 days before the day that their shares are reduced by the controlling shareholders, while have gained minus abnormal earnings 30 days after that day. Secondly, ＂good news＂ are often be is- sued before share reduction and ＂bad news＂ are often be issued after share reduction. Thirdly, the tunneling behaviors are more often taken place in private companies and the companies with higher Tobin＇s Q. Moreover, rate of return on common stockholders＂ equity （ROE） and return on total assets （ROA） have no significant effect on the tunneling behavior.