股灾、股票回购及其宣告效果
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摘要
文章重点关注2015年股灾后我国A股市场的股票回购激增的现象,统计了2009-2016年进行回购宣告的沪深A股上市公司,采用事件分析法计算宣告后不同窗期的累积异常报酬,并通过回归分析法检测影响库存股宣告效果的因素。研究结果显示:不论股灾前后,在回购宣告的事件窗期会产生一定的正向市场反应;股灾前,市净率高低是影响回购宣告效果的主要因素,但股灾后宣告回购的多数公司市净率较高,净资产收益率是影响其宣告效果的主要因素。可见,上市公司不应通过股票回购来提升股价,而应努力提高自身绩效,投资者不能盲目追捧宣告回购的公司,政府也应出台相关政策对股票回购行为进行规范。
A discussion is made of the stock buyback surge in A-share markets after the 2015 stock market crash. With a statistic of A-share listed companies on Shanghai and Shenzhen stock exchanges which made buyback announcements during 2009 and 2016, an event-study analysis is made of the cumulative abnormal return during the window periods after those announcements, and a regression analysis is made to detect the factors influencing the announcement effect of treasury stock. Research results show that, before and after the crash, buyback announcements both generate certain positive market reaction during window periods. Before the crash, price-to-book ratio serves as the major factor affecting the buyback announcement effect. However, companies announcing buybacks after the crash mostly have a high price-to-book ratio, which makes the return on equity the principal factor influencing their announcement effect. It can be seen from the above that listed companies should not lift their stock prices by stock buybacks, and they should strive to improve their performance instead. In addition, investors should not blindly follow companies announcing buybacks, while the government should issue relevant policies to normalize stock buybacks.
A discussion is made of the stock buyback surge in A-share markets after the 2015 stock market crash. With a statistic of A-share listed companies on Shanghai and Shenzhen stock exchanges which made buyback announcements during 2009 and 2016, an event-study analysis is made of the cumulative abnormal return during the window periods after those announcements, and a regression analysis is made to detect the factors influencing the announcement effect of treasury stock. Research results show that, before and after the crash, buyback announcements both generate certain positive market reaction during window periods. Before the crash, price-to-book ratio serves as the major factor affecting the buyback announcement effect. However, companies announcing buybacks after the crash mostly have a high price-to-book ratio, which makes the return on equity the principal factor influencing their announcement effect. It can be seen from the above that listed companies should not lift their stock prices by stock buybacks, and they should strive to improve their performance instead. In addition, investors should not blindly follow companies announcing buybacks, while the government should issue relevant policies to normalize stock buybacks.
引文
[1]Vermaelen,T.Common stock repurchases and market signalling[J].Journal of Financial Economics,1981,9(2):139-183.
[2]Bartov,E.Open-Market Stock Repurchases a s Signals for Earnings and Risk Changes[J].Journal of Accounting and Economics,1991,14(3):275-294.
[3]Ikenberry,D.,J.Lakonishok,and T.Vermaelen.Market underreaction to open market share repurchases[J].Journal of Financial Economics,1994,39(39):181-208.
[4]Netter.J.M.And M.L.Mitchell.Stock-Repurchase Announcements and Insider Transactions After the October1987 Stock Market Crash,’[J].Financial Economics,1989,18(3):84-96.
[5]林敏,干胜道.流通股回购:股价的事项性反应与绩效研究[J].证券市场导报,2006,16(9):30-35.
[6]高燕,冯福来.公开市场股份回购财富效应实证研究[J].商场现代化,2006,35(24):152-152.
[7]李伟,李勇.上市公司股份回购的股价效应理论研究及实证分析[J].经济师,2009,24(11):76-78.
[8]马明,运怀立.我国上市公司股份回购市场效应的统计分析[J].现代财经,2009,29(4):49-52.
[9]詹华平.我国上市公司股份回购市场反应的实证研究[D].中南大学,2007.
[10]Stephens.C.P.and M.S.Weisbach.Actual Share Reacquisitions in Open-Market Repurchase Programs[J].Journal of Finance,1998,53(1):313-333.
[11]Healy.P.M.And J.M.Wahlen.A Review of the Earnings Management Literature and its Implications for Standard Setting[J].Accounting Horizons,1999,13(4):365-383.
[12]Asquith,P.and D.W.Mullins,Jr.Signaling with Dividends.Stock Repurchases.And Equity Issues[J].Financial Management.1986,15(3):27-44.
[13]Isagawa.N.Open-Market Stock Repurchase and Stock Price Behavior When Management Values Real Investment[J].Financial Review,2000,35(4):95-108.
[14]Lie.E.and H.J.Lie.The Role of Personal Taxes in Corporate Decisions;An Empirical Analysis of Share Repurchases and Dividends[J].Journal of Financial and Quantitative Analysis,1999,34(4):533-552.
[15]Dann.I.Y.Common stock repurchases,A n analysis of returns to stockholders and bondholders[J].Journal of Financial Economic,1981,9(2):113-138.
[16]Comment,R.,and G.Jarrell.The relative signalling power of dutch-auction and fixed-price self-tender offers and open-market share repurchases[J].Journal of Finance,1991,46(4):1243-1271.
[17]Dittmar,A.K.Why do Firms Repurchase Stock[J].Journal of Business,2000,73(3):331-355.
[18]Jensen,M.C.Agency costs of free cash flow,corporate finance,and takeovers[J].American Economics Review,1999,76(2):323-329.
[19]Maxwell,F.W.,And C.P.Stephens.The wealth effects of repurchases on bondholders[J].Journal of Finance 2003,58(2):895-920.
[2]Bartov,E.Open-Market Stock Repurchases a s Signals for Earnings and Risk Changes[J].Journal of Accounting and Economics,1991,14(3):275-294.
[3]Ikenberry,D.,J.Lakonishok,and T.Vermaelen.Market underreaction to open market share repurchases[J].Journal of Financial Economics,1994,39(39):181-208.
[4]Netter.J.M.And M.L.Mitchell.Stock-Repurchase Announcements and Insider Transactions After the October1987 Stock Market Crash,’[J].Financial Economics,1989,18(3):84-96.
[5]林敏,干胜道.流通股回购:股价的事项性反应与绩效研究[J].证券市场导报,2006,16(9):30-35.
[6]高燕,冯福来.公开市场股份回购财富效应实证研究[J].商场现代化,2006,35(24):152-152.
[7]李伟,李勇.上市公司股份回购的股价效应理论研究及实证分析[J].经济师,2009,24(11):76-78.
[8]马明,运怀立.我国上市公司股份回购市场效应的统计分析[J].现代财经,2009,29(4):49-52.
[9]詹华平.我国上市公司股份回购市场反应的实证研究[D].中南大学,2007.
[10]Stephens.C.P.and M.S.Weisbach.Actual Share Reacquisitions in Open-Market Repurchase Programs[J].Journal of Finance,1998,53(1):313-333.
[11]Healy.P.M.And J.M.Wahlen.A Review of the Earnings Management Literature and its Implications for Standard Setting[J].Accounting Horizons,1999,13(4):365-383.
[12]Asquith,P.and D.W.Mullins,Jr.Signaling with Dividends.Stock Repurchases.And Equity Issues[J].Financial Management.1986,15(3):27-44.
[13]Isagawa.N.Open-Market Stock Repurchase and Stock Price Behavior When Management Values Real Investment[J].Financial Review,2000,35(4):95-108.
[14]Lie.E.and H.J.Lie.The Role of Personal Taxes in Corporate Decisions;An Empirical Analysis of Share Repurchases and Dividends[J].Journal of Financial and Quantitative Analysis,1999,34(4):533-552.
[15]Dann.I.Y.Common stock repurchases,A n analysis of returns to stockholders and bondholders[J].Journal of Financial Economic,1981,9(2):113-138.
[16]Comment,R.,and G.Jarrell.The relative signalling power of dutch-auction and fixed-price self-tender offers and open-market share repurchases[J].Journal of Finance,1991,46(4):1243-1271.
[17]Dittmar,A.K.Why do Firms Repurchase Stock[J].Journal of Business,2000,73(3):331-355.
[18]Jensen,M.C.Agency costs of free cash flow,corporate finance,and takeovers[J].American Economics Review,1999,76(2):323-329.
[19]Maxwell,F.W.,And C.P.Stephens.The wealth effects of repurchases on bondholders[J].Journal of Finance 2003,58(2):895-920.