上市公司大股东增持的市场效应及动因分析——来自沪深A股的经验证据

The Market Effect of Major Shareholders of Listed Companies to Increase Their Shares and Motivation Analysis——The Empirical Evidence from Shanghai and Shenzhen A shares

本文选取2012年3月15日至6月30日期间,沪深A股市场发生大股东增持行为的上市公司作为研究样本,对其增持公告日前后的市场效应及增持动因进行实证分析。研究结果表明,本次大股东增持公告日的市场效应显著为正,但持续时间较短。同时在对其增持动因的分析过程中,并没有发现支持获得超额收益或是传递股价低估信号或是巩固控制权的相关证据,而政策动因则对本次增持行为更有解释力。

The paper selects listed companies of Shanghai and Shenzhen A-share markets whose major shareholders increase their shares from March 15 to June 30 in 2012 as the research samples, and makes an empirical analysis on the market effect before and after their announcement and the motivation. The research results show that the market effect is significantly positive on the day of the announcement, but shorter. At the same time, in the process of analyzing the motivation, the paper finds that there is no relevant evidence on supporting for excess earnings or transferring stock underestimation signals or consolidating control power, while the poli- cy factor has more explanatory power.