基于股改效应的大宗股权转让问题实证研究
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摘要
大宗股权转让相对于散股交易而言,因各方面影响更大而受到重视。在中国渐进式转轨过程中、高股权集中度条件下,大宗股权转让问题与成熟市场比较有不一样的内容和特点。尤其是2005年股权分置改革之后,中国资本市场上大宗股权转让活跃,对股权定价、公司治理、市场效率和投资者保护等带来新的重大影响。要检验股权分置改革对中国证券市场的影响,研究股权分置改革背景下的股东大宗转让行为是一个很好的视角。通过深入研究大宗限售股权定价影响因素,探索大宗股权转让动因,总结和检验大宗股权转让影响,可以更有说服力地解释中国大宗股权转让问题呈现与国外不一样特点的现象,可以为股权分置改革的制度变革效果、股权结构内生性假说和公司外部治理理论提供股东行为角度的经验证据,有利于完善监管、改善市场效率、完善外部治理机制、保护投资者利益,为投资者投资策略选择提供实证依据。
在介绍国内外在大宗股权转让方面的研究成果和界定相关概念、分析相关理论的基础上,本文围绕股权分置改革这一重大制度变革时点和金融危机下市场趋势转折时点,按时间顺序,较连续的对股权分置改革前和之后,中国资本市场关注的大宗股权转让的热点问题——大宗限售股权定价影响因素、大宗股权转让动因和影响,运用流动性溢价与控制权收益理论、信号传递理论、市场微观结构理论、代理理论和部分控制权市场假说等相关理论,结合中国宏观制度和环境变化,采用理论研究、数理统计基础上的实证研究、情景分析和对比研究等方法,对大宗股权转让问题进行了研究。
首先,对比研究了股权分置改革前后大宗限售股权转让价格相对于流通股价格比值的差异及影响因素。与国外成熟市场更多关注的是定价的驱动因素,而不是定价公允性不同,由于制度背景和市场环境的不同,中国大宗股权转让方大多具有国有性质,证券市场的定价效率又不高,这决定了全流通后仍需加强大宗股权定价研究,为大宗国有股权、IPO限售股、高管限售股和逐渐趋于活跃的购并市场大宗股权定价提供理论支持。本文研究发现：流动性约束与大宗限售股转让相对价负相关；每股净资产定价兼具合理性和局限性；控制权收益、存在控制权转移时的限售股转让比例以及公司流通股比例与大宗限售股转让相对价正相关；受让方为非国有性质时,限售股转让相对价较低。这些结论为大宗股权定价模型研究提供了因素选择经验证据。
其次,利用2006-2008年175个大宗股权增、减持数据,对获得流通权的限售股东的大宗增、减持行为动因进行了实证分析。国外学者对于股东的大宗增、减持行为动因研究多基于活跃的控制权市场,以兼并收购为研究背景,和国内股权分置改革后大宗股权转让行为背景不同。国内学者对于股东的大宗增、减持行为动因研究主要是总结归纳式研究,缺乏经验证据。论文研究发现：股权分置改革后,股东大宗交易活跃,公司绩效与原有股权结构是股东大宗增、减持的重要动因。公司绩效指标中实业角度的营业毛利率显著影响股东大宗增减持行为,而常用的ROA、PBV指标并不显著；股权集中度较低、中央国资委为终极控制人的股东倾向于增持；公司股票的流动性、市场情景与大宗增减持比例成反比。这些经验证据一方面说明公司原有股权结构与实业角度的营业毛利率水平是股权分置改革后中国大宗股权转让的重要动因,为股权结构内生性假说提供了间接证据；另一方面说明股权分置改革后,大股东增、减持动因较理性,有助于外部治理机制的完善。
第三、区分股权转让方向,基于市场情景,本文研究了股权分置改革后中国大宗股权转让的公告效应。国外学者的研究集中于兼并收购中的大宗交易以及IPO限售股流通对市场的影响,没有区分转让方向进行研究,而中国上市公司股权集中度很高,以控制权转移为目的的大宗股权转让较少,研究背景存在差异；国内对于股权分置改革前的大宗非流通股权转让的公告效应研究较多,股权分置改革后的研究很少,也没有区分市场情景的研究。我们区分股权转让方向(增持和减持)、大宗转让公告前对市场供求影响和公告后信号效应影响,并考虑了不同市场情景下的变化,研究发现：减持样本在公告前,增持样本在公告后有显著的正累计异常收益,投资者在大宗增持公告后买入是一种较好的投资策略；公告后的信号效应对市场的影响大于公告前转让行为,说明对于上市公司股东大宗股权转让的信息披露监管较交易行为监管更为重要；公告前数据显示存在牛熊市不对称价格影响,熊市减持样本有公告前股东操纵股价迹象。
最后,本文初步验证了金融危机背景下,股权分置改革后,大股东大宗交易行为能改善结构性和系统性市场定价效率,并起到部分控制权市场作用。由于股东大宗增减持公告并没有显示股东实际增持或减持的具体时间,只给出了大致区间,无法使用市场高频交易数据进行大宗股权转让对市场定价效率影响的分析。本文尝试了新的研究视角和方法,从大宗股权转让优化股价结构和平抑系统性过度反应的角度,构建了Logit统计分析模型,通过对股权分置改革后、金融危机背景下的138个大股东大宗交易数据进行实证分析,探讨大宗股权转让对市场定价效率的影响。研究发现大股东大宗交易行为能改进结构性和系统性市场定价效率,绩效高的公司有更高的定价,绩效差的公司股价降低,上升趋势和市场投机性较强时,大股东大宗减持意愿更强烈,下跌趋势和市场换手率较低时,大股东大宗增持概率更大,这有益于减弱市场系统性过度反应、减弱金融危机对市场的冲击。股权分置改革后,股权制衡度较高公司的控股股东倾向于增持,控股股东的增持使其实施利益侵占行为的激励下降,更多的与公司整体上保持“利益趋同效应”,有益于外部治理机制的改善。股东的大宗股权转让行为起到了部分控制权市场作用。
中国大宗股权转让问题的实证研究,课题比较大,涉及理论较多,文章可能会有缺陷和遗漏,由于数据的时间限制,很多研究还有待继续,对此寄希望后续研究和后来者对本研究的完善和拓展。
Block transfers are the focus of market participants because of their greater importance than bulk stock trades, and they exist in the case of gradual transition market and high-concentrated listed companies in China resulting in their difference from those in developed capital markets. More and more block transfers after Equity Splitting Reform in 2005 have significant impact on equity pricing, corporate governance, market efficiency and investors protection. We convincingly explain different block transfers in Chinese stock market by deeply studying influencing factors of restricted stocks prices, exploring block transfers impetus, summarizing and testing impacts of block transfers, and we also provide empirical evidence on the effects of institutional innovation from Equity Splitting Reform, endogenity hypothesis of ownership structure and external corporate governance mechanisms, which helps perfect market supervision, reinforce corporate governance, improve market efficiency and better protection of minority shareholders.
On the foundation of introducing research achievements about block transfers, defining relevant concepts, analyzing relevant theory including stock market liquidity premium theory、benefits of control theory、signaling theory、market microstructure theory、agency theory and market for partial corporate control hypothesis, combining with the environmental changing and the background of Equity Splitting Reform, following the time order, we analyze the issue of block transfers continuously by adopting methods of scenarios analysis and comparative study,theoretical study, empirical study based on mathematical statistics.
Firstly, we conduct a comparative analysis on the difference between ratio of transferring price of restricted shares before Share Splitting Reform and after that and influencing factors of this difference. The focus of foreign market is on the driven factors of pricing block shares rather than the pricing fairness. More researches on pricing block shares in fully circulating market are needed due to low pricing efficiency and state-owned transferors in the different institutional and environmental background in Chinese stock market, which provides theoretical support for pricing state-owned block shares, IPO restricted shares, restricted shares from superior managers in active M&A market. The research shows that:liquidity constraints negatively correlate with the pricing of restricted stocks; the pricing based on net asset value per share is reasonable and has some limitations; there is positive correlation between restricted shares price and benefits of control, transferring percentage of restricted shares while benefits of control exist, the proportion of tradable A share; non-stated transferee adds a discount of restricted block stock prices. This paper provides empirical support for researches on factors selecting of block share pricing models.
Secondly, an empirical analysis on the impetus of block transfers from restricted shareholders in 175 listed companies from 2006 to 2008 after Share Splitting Reform is conducted in this paper. Based on M&A, the impetus of block transfers in active controlling market has been studied in foreign literatures whose background obviously differs from that of China after Share Splitting Reform. Researches on summarizing the impetus of block transfers in China are qualitative due to lack of empirical evidence. We find that corporate performance and original ownership structure are the impetus of block transfers after Share Splitting Reform. As one of the performance indices, the ratio of operating margin from industrial point of view has significant impact on block transfers, but the common indices of ROA and PBV are statistically insignificant; shareholders from those companies whose ultimate owners are State-owned Assets Supervision and Administration Commission (SASAC) bias block purchases; ownership concentration adversely affects block increases. The conclusion empirically proves that original ownership structure and the ratio of operating margin are the impetus of block transfers after Share Splitting Reform, which provides indirect evidence for endogenity hypothesis ownership structure. On the other hand, it also proves that rational impetus of block transfers from large shareholders after Share Splitting Reform is helpful for reinforcing corporate governance.
Thirdly, this paper is an in-depth study on the announcement effect of block transfers after Share Splitting Reform by providing insights into transfers orders (block purchases and sells) and home market scenarios. The market reaction to IPO restricted share trades and to block trades from M&A has been widely studied in foreign literatures whose background obviously differs from that of China after Share Splitting Reform. Few block transfers resulted from transfers of control attribute to high-concentrated listed companies in China, and domestic researchers who don't take transfers order into consideration tend to analyze the announcement effect of non-tradable shares transfers before Share Splitting Reform, and little research has been done on it after Share Splitting Reform. We take transfers orders (block purchases and sells) and market scenarios into consideration, and the impacts of supply and demand for stocks before transfers announced day and signaling effect on market after transfers announced day are involved in this paper. We find that positive cumulative abnormal returns are significant for sellers before block sells announced day and purchasers after block purchases announced day, which shows that it is a good strategy for investors to purchase blocks after their announced day. The impact of information on transfers on market after transfers announced day is greater than transfers conduct preceding transfers announced day, thus it is more important to strengthen governance of information disclosure on block transfers than transfers conduct. Market-specific price impact asymmetry exists in Chinese equity market, and stocks price has been manipulated by block sellers before transfers announced day.
At last, we verify that structural and systemic efficiency of pricing can be improved by block trades from large shareholders after Share Splitting Reform and in the background of financial crisis. High-frequency data can not be used to analyze the impact of block transfers on the efficiency of pricing due to the fact that only approximate interval of block purchases or sells announced rather than the specific time is given. From views of optimizing ownership structure and stabilizing systemic over-reaction, we construct Logit model and attempt to investigate the impact of block transfers on efficiency of pricing by using 138 block trades from large shareholders after Share Splitting Reform in the background of financial crisis. We find that block trades from large shareholders can improve structural and systemic efficiency of pricing; the better the corporate performance, the higher the prices; large shareholders prefer block sells when market is rising and speculation exists, and the probability of block purchases is higher in bearish and low-turnover market, which is beneficial to decrease the systemic over-reaction and the impact of financial crisis on the market. Block increases from the largest shareholder occur more frequently in companies with lower ownership concentration, so they have less incentive to occupy interests of other shareholders and keep interests consistent with their companies, which benefits to the reinforcement of corporate governance. Agency theory predictions about the disciplining role of market for partial corporate control from block transfers are partly supported.
The empirical study on block transfers is a large topic, and many theories are involved in it, so there must be some limitations due to time limitation in this paper. Therefore subsequent research is expected, and researchers should improve and expand this study in the future.
在介绍国内外在大宗股权转让方面的研究成果和界定相关概念、分析相关理论的基础上,本文围绕股权分置改革这一重大制度变革时点和金融危机下市场趋势转折时点,按时间顺序,较连续的对股权分置改革前和之后,中国资本市场关注的大宗股权转让的热点问题——大宗限售股权定价影响因素、大宗股权转让动因和影响,运用流动性溢价与控制权收益理论、信号传递理论、市场微观结构理论、代理理论和部分控制权市场假说等相关理论,结合中国宏观制度和环境变化,采用理论研究、数理统计基础上的实证研究、情景分析和对比研究等方法,对大宗股权转让问题进行了研究。
首先,对比研究了股权分置改革前后大宗限售股权转让价格相对于流通股价格比值的差异及影响因素。与国外成熟市场更多关注的是定价的驱动因素,而不是定价公允性不同,由于制度背景和市场环境的不同,中国大宗股权转让方大多具有国有性质,证券市场的定价效率又不高,这决定了全流通后仍需加强大宗股权定价研究,为大宗国有股权、IPO限售股、高管限售股和逐渐趋于活跃的购并市场大宗股权定价提供理论支持。本文研究发现：流动性约束与大宗限售股转让相对价负相关；每股净资产定价兼具合理性和局限性；控制权收益、存在控制权转移时的限售股转让比例以及公司流通股比例与大宗限售股转让相对价正相关；受让方为非国有性质时,限售股转让相对价较低。这些结论为大宗股权定价模型研究提供了因素选择经验证据。
其次,利用2006-2008年175个大宗股权增、减持数据,对获得流通权的限售股东的大宗增、减持行为动因进行了实证分析。国外学者对于股东的大宗增、减持行为动因研究多基于活跃的控制权市场,以兼并收购为研究背景,和国内股权分置改革后大宗股权转让行为背景不同。国内学者对于股东的大宗增、减持行为动因研究主要是总结归纳式研究,缺乏经验证据。论文研究发现：股权分置改革后,股东大宗交易活跃,公司绩效与原有股权结构是股东大宗增、减持的重要动因。公司绩效指标中实业角度的营业毛利率显著影响股东大宗增减持行为,而常用的ROA、PBV指标并不显著；股权集中度较低、中央国资委为终极控制人的股东倾向于增持；公司股票的流动性、市场情景与大宗增减持比例成反比。这些经验证据一方面说明公司原有股权结构与实业角度的营业毛利率水平是股权分置改革后中国大宗股权转让的重要动因,为股权结构内生性假说提供了间接证据；另一方面说明股权分置改革后,大股东增、减持动因较理性,有助于外部治理机制的完善。
第三、区分股权转让方向,基于市场情景,本文研究了股权分置改革后中国大宗股权转让的公告效应。国外学者的研究集中于兼并收购中的大宗交易以及IPO限售股流通对市场的影响,没有区分转让方向进行研究,而中国上市公司股权集中度很高,以控制权转移为目的的大宗股权转让较少,研究背景存在差异；国内对于股权分置改革前的大宗非流通股权转让的公告效应研究较多,股权分置改革后的研究很少,也没有区分市场情景的研究。我们区分股权转让方向(增持和减持)、大宗转让公告前对市场供求影响和公告后信号效应影响,并考虑了不同市场情景下的变化,研究发现：减持样本在公告前,增持样本在公告后有显著的正累计异常收益,投资者在大宗增持公告后买入是一种较好的投资策略；公告后的信号效应对市场的影响大于公告前转让行为,说明对于上市公司股东大宗股权转让的信息披露监管较交易行为监管更为重要；公告前数据显示存在牛熊市不对称价格影响,熊市减持样本有公告前股东操纵股价迹象。
最后,本文初步验证了金融危机背景下,股权分置改革后,大股东大宗交易行为能改善结构性和系统性市场定价效率,并起到部分控制权市场作用。由于股东大宗增减持公告并没有显示股东实际增持或减持的具体时间,只给出了大致区间,无法使用市场高频交易数据进行大宗股权转让对市场定价效率影响的分析。本文尝试了新的研究视角和方法,从大宗股权转让优化股价结构和平抑系统性过度反应的角度,构建了Logit统计分析模型,通过对股权分置改革后、金融危机背景下的138个大股东大宗交易数据进行实证分析,探讨大宗股权转让对市场定价效率的影响。研究发现大股东大宗交易行为能改进结构性和系统性市场定价效率,绩效高的公司有更高的定价,绩效差的公司股价降低,上升趋势和市场投机性较强时,大股东大宗减持意愿更强烈,下跌趋势和市场换手率较低时,大股东大宗增持概率更大,这有益于减弱市场系统性过度反应、减弱金融危机对市场的冲击。股权分置改革后,股权制衡度较高公司的控股股东倾向于增持,控股股东的增持使其实施利益侵占行为的激励下降,更多的与公司整体上保持“利益趋同效应”,有益于外部治理机制的改善。股东的大宗股权转让行为起到了部分控制权市场作用。
中国大宗股权转让问题的实证研究,课题比较大,涉及理论较多,文章可能会有缺陷和遗漏,由于数据的时间限制,很多研究还有待继续,对此寄希望后续研究和后来者对本研究的完善和拓展。
Block transfers are the focus of market participants because of their greater importance than bulk stock trades, and they exist in the case of gradual transition market and high-concentrated listed companies in China resulting in their difference from those in developed capital markets. More and more block transfers after Equity Splitting Reform in 2005 have significant impact on equity pricing, corporate governance, market efficiency and investors protection. We convincingly explain different block transfers in Chinese stock market by deeply studying influencing factors of restricted stocks prices, exploring block transfers impetus, summarizing and testing impacts of block transfers, and we also provide empirical evidence on the effects of institutional innovation from Equity Splitting Reform, endogenity hypothesis of ownership structure and external corporate governance mechanisms, which helps perfect market supervision, reinforce corporate governance, improve market efficiency and better protection of minority shareholders.
On the foundation of introducing research achievements about block transfers, defining relevant concepts, analyzing relevant theory including stock market liquidity premium theory、benefits of control theory、signaling theory、market microstructure theory、agency theory and market for partial corporate control hypothesis, combining with the environmental changing and the background of Equity Splitting Reform, following the time order, we analyze the issue of block transfers continuously by adopting methods of scenarios analysis and comparative study,theoretical study, empirical study based on mathematical statistics.
Firstly, we conduct a comparative analysis on the difference between ratio of transferring price of restricted shares before Share Splitting Reform and after that and influencing factors of this difference. The focus of foreign market is on the driven factors of pricing block shares rather than the pricing fairness. More researches on pricing block shares in fully circulating market are needed due to low pricing efficiency and state-owned transferors in the different institutional and environmental background in Chinese stock market, which provides theoretical support for pricing state-owned block shares, IPO restricted shares, restricted shares from superior managers in active M&A market. The research shows that:liquidity constraints negatively correlate with the pricing of restricted stocks; the pricing based on net asset value per share is reasonable and has some limitations; there is positive correlation between restricted shares price and benefits of control, transferring percentage of restricted shares while benefits of control exist, the proportion of tradable A share; non-stated transferee adds a discount of restricted block stock prices. This paper provides empirical support for researches on factors selecting of block share pricing models.
Secondly, an empirical analysis on the impetus of block transfers from restricted shareholders in 175 listed companies from 2006 to 2008 after Share Splitting Reform is conducted in this paper. Based on M&A, the impetus of block transfers in active controlling market has been studied in foreign literatures whose background obviously differs from that of China after Share Splitting Reform. Researches on summarizing the impetus of block transfers in China are qualitative due to lack of empirical evidence. We find that corporate performance and original ownership structure are the impetus of block transfers after Share Splitting Reform. As one of the performance indices, the ratio of operating margin from industrial point of view has significant impact on block transfers, but the common indices of ROA and PBV are statistically insignificant; shareholders from those companies whose ultimate owners are State-owned Assets Supervision and Administration Commission (SASAC) bias block purchases; ownership concentration adversely affects block increases. The conclusion empirically proves that original ownership structure and the ratio of operating margin are the impetus of block transfers after Share Splitting Reform, which provides indirect evidence for endogenity hypothesis ownership structure. On the other hand, it also proves that rational impetus of block transfers from large shareholders after Share Splitting Reform is helpful for reinforcing corporate governance.
Thirdly, this paper is an in-depth study on the announcement effect of block transfers after Share Splitting Reform by providing insights into transfers orders (block purchases and sells) and home market scenarios. The market reaction to IPO restricted share trades and to block trades from M&A has been widely studied in foreign literatures whose background obviously differs from that of China after Share Splitting Reform. Few block transfers resulted from transfers of control attribute to high-concentrated listed companies in China, and domestic researchers who don't take transfers order into consideration tend to analyze the announcement effect of non-tradable shares transfers before Share Splitting Reform, and little research has been done on it after Share Splitting Reform. We take transfers orders (block purchases and sells) and market scenarios into consideration, and the impacts of supply and demand for stocks before transfers announced day and signaling effect on market after transfers announced day are involved in this paper. We find that positive cumulative abnormal returns are significant for sellers before block sells announced day and purchasers after block purchases announced day, which shows that it is a good strategy for investors to purchase blocks after their announced day. The impact of information on transfers on market after transfers announced day is greater than transfers conduct preceding transfers announced day, thus it is more important to strengthen governance of information disclosure on block transfers than transfers conduct. Market-specific price impact asymmetry exists in Chinese equity market, and stocks price has been manipulated by block sellers before transfers announced day.
At last, we verify that structural and systemic efficiency of pricing can be improved by block trades from large shareholders after Share Splitting Reform and in the background of financial crisis. High-frequency data can not be used to analyze the impact of block transfers on the efficiency of pricing due to the fact that only approximate interval of block purchases or sells announced rather than the specific time is given. From views of optimizing ownership structure and stabilizing systemic over-reaction, we construct Logit model and attempt to investigate the impact of block transfers on efficiency of pricing by using 138 block trades from large shareholders after Share Splitting Reform in the background of financial crisis. We find that block trades from large shareholders can improve structural and systemic efficiency of pricing; the better the corporate performance, the higher the prices; large shareholders prefer block sells when market is rising and speculation exists, and the probability of block purchases is higher in bearish and low-turnover market, which is beneficial to decrease the systemic over-reaction and the impact of financial crisis on the market. Block increases from the largest shareholder occur more frequently in companies with lower ownership concentration, so they have less incentive to occupy interests of other shareholders and keep interests consistent with their companies, which benefits to the reinforcement of corporate governance. Agency theory predictions about the disciplining role of market for partial corporate control from block transfers are partly supported.
The empirical study on block transfers is a large topic, and many theories are involved in it, so there must be some limitations due to time limitation in this paper. Therefore subsequent research is expected, and researchers should improve and expand this study in the future.
引文
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