上市公司大股东增持的市场时机选择能力及其影响因素研究

Research on the Market Timing Ability and Its Influencing Factors in Major Shareholders' Stake-raising for China's Listed Companies

本文对大股东增持股票的市场时机选择能力进行了研究。以沪深两市2008年8月27日~2012年12月31日持股5%以上的大股东通过集合竞价系统增持上市公司股票的行为作为样本,采用月度数据,通过对大股东增持时间、增持比例和增持价格三方面的研究,发现大股东在增持时普遍进行了市场时机选择。在此基础上,进一步研究了大股东增持择时能力的影响因素,证实大股东增持的择时能力受其持股性质、增持比例、公司近期的股票走势和未来成长性的影响。

This paper has first studied the market timing ability of the major shareholders when they increased their share holdings. Using listed companies＇ monthly data between August 27, 2008 and December 31, 2012 in Shanghai and Shenzhen Stock Exchanges whose big shareholders holding more than 5% stake have increased their own stake through the call auction system, the paper finds that the major shareholders have generally performed a market timing in three ways ： the time, proportion and price of stake raising. Basing on the main results, the factors which may affect the major shareholders＇ ability of market timing are further studied. This paper have shown that the major shareholders＇ ability of market timing is affected by the major shareholders＇ equity nature, their stake raising proportions, the company＇s recent stock price movements and future growth. Major shareholders＇ stake-raising is a behavior of major shareholders continuing to purchase stocks in the secondary market in order to boost investors＇ confidence and an insiders＇ action emerging after the split share structure reform. According to the market timing theory, when a stock is undervalued, the listed company should repur- chase its stocks, however, there are fewer companies repurchase stocks which are undervalued because of strict legal regime and low capital liquidity in China. Thus, major shareholders whose interests are closely related to stock try to boost stock price by stake-raising especially when the share price is low. The CSRC revamped regulations about stake raising on August 27, 2008 in Administrative Methods of Listed Companies＇ I^rchase, which aims at encouraging and regulating major shareholders＇ stake-raising behaviors. Sev- eral relevant papers focus on the motivation and market reaction of major shareholders＇ stake raising. Based on the research outcomes so far, the paper tries to answer the following questions： whether the major shareholders perform market timing when raising stake？ Which factors can influence the market timing ability of the major shareholders.9 We find that the major shareholders have generally performed market timing in three ways. Firstly, when the major shareholders raise stake is when the stock is undervalued. During the two months before stake-raising, the stock price shows the trend of falling down, however, the stock price increases in the wake of the stake-raising. Similarly, the first quarterly operating profit margin after stake-raising is greater than that of the last quarter before stake-raising; Secondly, when the company has larger recent share price volatility and better future growth pros- pects, the major shareholders tend to hold more shares; Finally, the price of major shareholders＇ stake raising is also significantly less than the share＇s market average price. The paper has further explored factors which may affect the major shareholders＇ ability of market timing. This study shows that the major shareholders＇ ability of market timing is affected by the nature of property rights and their stake raising proportions, the company＇ s recent changes in stock prices and future growth. To be specific, non-state-owned major shareholders have better market timing ability than state-owned ones; with higher raising proportion, the non-state-owned major shareholders＇ are more capable of executing market timing; major share- holders are more concerned with stock prices during two months before and one month after raising; in addition, for companies which have good growth prospects in future, In conclusion, this paper provides some empirical large shareholders will focus more on market timing. evidences about the marketing timing ability, motivation, market reaction and influencing factors of major shareholders＇ stake raising. The policy implication of this paper is evident, providing decision-making references for the regulators＇ further standardizing stake raising trading behav- iors of the insiders of public companies.