股权分置改革下的并购信息反应研究
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摘要
并购作为企业扩张和资源有效配置的重要方式,一直受到资本市场的追捧。在股票市场上,并购事件被认为是重大利好信息,无数股民希望依靠并购行情的股价飙升而发家致富。那么,并购信息短期内真的能造成股价大幅上涨吗?投资者能靠所谓的并购行情谋取巨额利润吗?这些问题只有细致的研究了并购信息反应,依据股价在并购信息公布前后的波动情况分析总结规律之后,才能加以解释。
另一方面,股权分置改革让我国股票市场实现了“全流通”,扫清了股权并购的制度障碍,带来了并购市场的繁荣。那么,股权分置改革给并购带来了什么变化?股权分置改革能让投资者从并购信息中获益更大吗?这是本文希望加以着重分析和解释的地方。
要分析并购的信息反应首先要对并购做研究。在国外资本市场中,并购已有上百年的历史,经历了五次并购浪潮,形成了成熟的理论和方法体系。一般认为,由于企业并购在管理、财务、经营方面的协同作用,降低了企业交易费用,缓解了委托代理问题,并购可以提高企业效益,推动产业的不断升级和经济发展。
紧接着并购研究的是信息反应的研究。国外考察信息反应通常选择从股票价格和交易量两方面入手,对股价反应的研究进一步形成了以股价反应何种程度(历史、公开、内幕)信息来划分的效率层次的有效市场假说理论(EMH),而对交易量进行研究后发现公告中有明显的信息含量。国内研究股价的信息反应多采用事件研究法,通过检验“事件”发生前后超额收益率的变化来说明股价对“事件”信息的反应情况。本文也选择采用事件研究法对并购的信息反应作实证研究。
股权分置改革作为本文考察的主要变量,也是深受关注的大事件。2005年4月29日,证监会发布的《关于上市公司股权分置改革试点的有关问题的通知》是中国股权改革的开始。截止2007年12月31日,已有1303家上市公司开始或完成了股权改革。股权分置改革的进行和完成对资本市场的意义是巨大的,它使投资融资功能运行正常,改进和完善了资产定价机制,让资源优化配置功能得以真正实现。同时,股票全流通改变了上市公司并购项目的价值评估体系,并购主体开始为追求价值发现、实现股东价值最大化和把公司做大做强等目的进行资源整合。
在本文的实证部分,通过对股改前和股改后两部分样本数据的研究分析,得出了股权分置改革提高了并购信息反应效率的结论。并购从内部效率和外部效率两个方面得以提升,一方面,股权分置改革带来了并购方式、支付方式和价格形成机制的本质改变,显著提高了并购内部效率;另一方面,股权分置改革后,实现了同股同权、同股同利,公司股价成为全体股东价值评判的共同标准,公司经营状况真正成为全体股东的共同关注点,企业并购对公司治理和公司经营的正效应也逐步显现,提高了外部效率。并购效应提高的预期体现在股价波动上,就是信息反应更为及时、精确,这有利于股民的投资选择和决策,对资本市场的理性发展有促进作用。
As an important method of company’s outspread and resource allocation, Merger & Acquisition is very popular in the capital markets. In the stock market, Merger & Acquisition case is considered to be a major positive. Many investors rely on the hope that the Merger & Acquisition market and the soaring price of the wealthy. In that case, information on Merger & Acquisition in the short term can really cause a significant price increase it? Investors can rely on the so-called Merger & Acquisition market to reap huge profits it? These problems only detailed study of the Merger & Acquisition response to the information, based on the acquisition of shares in the information released before and after analysis of the volatility of the summary of the law, can be explained.
On the other hand, the China’s stock market completes“the entire circulation”by the Split Share Structure Reform. The removal of system hold backs will greatly stimulate the Share Merger & Acquisition activities. In that case, was Merger & Acquisition really changed by the Split Share Structure Reform? Can investors benefit from the Split Share Structure Reform? It is hoped that this article be focused on analysis and interpretation.
Studying Merger & Acquisition is a prerequisite for studies on the Effect of Merger & Acquisition Information. In foreign capital markets, Merger & Acquisition have been a century of history, has gone through five waves of Merger & Acquisition, and formed a mature system theory and methods. It is generally believed that due to Merger & Acquisition in the management, financial, operating synergies and reduces corporate transaction costs and eases the principal-agent problem. Merger & Acquisition can improve the efficiency of enterprises and promote the continuous upgrading of industrial and economic development.
Analysis of the Effect of Information is next the first Merger & Acquisition research. Abroad study of the effect of information is usually to choose the stock price and trading volume of the two-pronged. The share price reaction to further study is the theory of efficient market hypothesis (EMH)which included the formation of the stock price reaction to what extent the (history, open and insider) information to the efficiency of the division-level. And the trading volume on the study found a clear notice of the information content. Research on domestic stock prices react more information on the use of event study, the test adopted by the "incident" took place before and after the excess rate of return to illustrate the changes in the price of the "incident" information response. This article also opts for the event study on the Merger & Acquisition information response for Empirical Research.
The Split Share Structure Reform in this article as a study of the main variables is also deeply concerned about the big event. On April 29, 2005, China Securities Regulatory Commission issued”Notice on Some Questions on the Split Structure Reform for Listed Companies”, which launched China Share Structure Reform. As of December 31, 2007, 1303 listed companies have been completed or started share reforms. Split Share Structure Reform is huge significance to the capital market. It makes the investment operation of the normal functions of financing, improves the asset pricing mechanism and makes optimal allocation of resources to be truly functional. At the same time, the full circulation of stocks has changed listed companies’assessing value system of Merger & Acquisition project. In the resources’integration, participants began to pursue the acquisition of the main value of the discovery, the realization of shareholder value and to maximize the company bigger and stronger.
In this part of the evidence, through the stock before and after the reform of the two samples of some of the data analysis, come to the Split Share Structure Reform to improve the efficiency of the Merger & Acquisition response. Merger & Acquisition’s internal and external efficiency improved. On the one hand, Merger & Acquisition’s manner of payment and price formation mechanism has been changed by Split Share Structure Reform, significantly improved the efficiency of the internal mergers and acquisitions. The other hand, the investors have the same right and the same benefit after the reform. The company's share price is the value of a common standard of evaluation. The investors focus on the real situation of company operating. The effects of Merger & Acquisition raise the external efficiency. In stock market, the information reaction is more accurate and timely, which is conducive to investment in stock selection and decision-making and to promote the rational development of the capital market.
另一方面,股权分置改革让我国股票市场实现了“全流通”,扫清了股权并购的制度障碍,带来了并购市场的繁荣。那么,股权分置改革给并购带来了什么变化?股权分置改革能让投资者从并购信息中获益更大吗?这是本文希望加以着重分析和解释的地方。
要分析并购的信息反应首先要对并购做研究。在国外资本市场中,并购已有上百年的历史,经历了五次并购浪潮,形成了成熟的理论和方法体系。一般认为,由于企业并购在管理、财务、经营方面的协同作用,降低了企业交易费用,缓解了委托代理问题,并购可以提高企业效益,推动产业的不断升级和经济发展。
紧接着并购研究的是信息反应的研究。国外考察信息反应通常选择从股票价格和交易量两方面入手,对股价反应的研究进一步形成了以股价反应何种程度(历史、公开、内幕)信息来划分的效率层次的有效市场假说理论(EMH),而对交易量进行研究后发现公告中有明显的信息含量。国内研究股价的信息反应多采用事件研究法,通过检验“事件”发生前后超额收益率的变化来说明股价对“事件”信息的反应情况。本文也选择采用事件研究法对并购的信息反应作实证研究。
股权分置改革作为本文考察的主要变量,也是深受关注的大事件。2005年4月29日,证监会发布的《关于上市公司股权分置改革试点的有关问题的通知》是中国股权改革的开始。截止2007年12月31日,已有1303家上市公司开始或完成了股权改革。股权分置改革的进行和完成对资本市场的意义是巨大的,它使投资融资功能运行正常,改进和完善了资产定价机制,让资源优化配置功能得以真正实现。同时,股票全流通改变了上市公司并购项目的价值评估体系,并购主体开始为追求价值发现、实现股东价值最大化和把公司做大做强等目的进行资源整合。
在本文的实证部分,通过对股改前和股改后两部分样本数据的研究分析,得出了股权分置改革提高了并购信息反应效率的结论。并购从内部效率和外部效率两个方面得以提升,一方面,股权分置改革带来了并购方式、支付方式和价格形成机制的本质改变,显著提高了并购内部效率;另一方面,股权分置改革后,实现了同股同权、同股同利,公司股价成为全体股东价值评判的共同标准,公司经营状况真正成为全体股东的共同关注点,企业并购对公司治理和公司经营的正效应也逐步显现,提高了外部效率。并购效应提高的预期体现在股价波动上,就是信息反应更为及时、精确,这有利于股民的投资选择和决策,对资本市场的理性发展有促进作用。
As an important method of company’s outspread and resource allocation, Merger & Acquisition is very popular in the capital markets. In the stock market, Merger & Acquisition case is considered to be a major positive. Many investors rely on the hope that the Merger & Acquisition market and the soaring price of the wealthy. In that case, information on Merger & Acquisition in the short term can really cause a significant price increase it? Investors can rely on the so-called Merger & Acquisition market to reap huge profits it? These problems only detailed study of the Merger & Acquisition response to the information, based on the acquisition of shares in the information released before and after analysis of the volatility of the summary of the law, can be explained.
On the other hand, the China’s stock market completes“the entire circulation”by the Split Share Structure Reform. The removal of system hold backs will greatly stimulate the Share Merger & Acquisition activities. In that case, was Merger & Acquisition really changed by the Split Share Structure Reform? Can investors benefit from the Split Share Structure Reform? It is hoped that this article be focused on analysis and interpretation.
Studying Merger & Acquisition is a prerequisite for studies on the Effect of Merger & Acquisition Information. In foreign capital markets, Merger & Acquisition have been a century of history, has gone through five waves of Merger & Acquisition, and formed a mature system theory and methods. It is generally believed that due to Merger & Acquisition in the management, financial, operating synergies and reduces corporate transaction costs and eases the principal-agent problem. Merger & Acquisition can improve the efficiency of enterprises and promote the continuous upgrading of industrial and economic development.
Analysis of the Effect of Information is next the first Merger & Acquisition research. Abroad study of the effect of information is usually to choose the stock price and trading volume of the two-pronged. The share price reaction to further study is the theory of efficient market hypothesis (EMH)which included the formation of the stock price reaction to what extent the (history, open and insider) information to the efficiency of the division-level. And the trading volume on the study found a clear notice of the information content. Research on domestic stock prices react more information on the use of event study, the test adopted by the "incident" took place before and after the excess rate of return to illustrate the changes in the price of the "incident" information response. This article also opts for the event study on the Merger & Acquisition information response for Empirical Research.
The Split Share Structure Reform in this article as a study of the main variables is also deeply concerned about the big event. On April 29, 2005, China Securities Regulatory Commission issued”Notice on Some Questions on the Split Structure Reform for Listed Companies”, which launched China Share Structure Reform. As of December 31, 2007, 1303 listed companies have been completed or started share reforms. Split Share Structure Reform is huge significance to the capital market. It makes the investment operation of the normal functions of financing, improves the asset pricing mechanism and makes optimal allocation of resources to be truly functional. At the same time, the full circulation of stocks has changed listed companies’assessing value system of Merger & Acquisition project. In the resources’integration, participants began to pursue the acquisition of the main value of the discovery, the realization of shareholder value and to maximize the company bigger and stronger.
In this part of the evidence, through the stock before and after the reform of the two samples of some of the data analysis, come to the Split Share Structure Reform to improve the efficiency of the Merger & Acquisition response. Merger & Acquisition’s internal and external efficiency improved. On the one hand, Merger & Acquisition’s manner of payment and price formation mechanism has been changed by Split Share Structure Reform, significantly improved the efficiency of the internal mergers and acquisitions. The other hand, the investors have the same right and the same benefit after the reform. The company's share price is the value of a common standard of evaluation. The investors focus on the real situation of company operating. The effects of Merger & Acquisition raise the external efficiency. In stock market, the information reaction is more accurate and timely, which is conducive to investment in stock selection and decision-making and to promote the rational development of the capital market.
引文
[1]全国工商联合会并购公会、全球并购研究中心,2006:《中国并购报告》。
[2]殷醒民,1999:《企业购并的金融经济学解释》,上海财经大学出版社,第1版。
[3]王咏梅,2005:《年报披露、反应时间与投资决策——股票市场价格反应的持续模型研究》,《北京大学学报》第2期。
[4]杨晓嘉,2007:《上市公司并购绩效及其优化问题研究》,博士论文,湖南大学。
[5]易平、燕艳、蔡金秀,2005:《企业并购理论及上市公司并购效应研究综述》,《广州市经济管理干部学院学报》第2期第7卷。
[6]李哲,2007:《转型期中国国有上市公司并购重组的制度根源与实际绩效》,博士论文,上海交通大学。
[7]李善民、陈玉罡,2002:《上市公司兼并与收购的财富效应》,《经济研究》第11期。
[8]张新,2003:《并购重组是否创造价值》,《经济研究》第6期。
[9]朱滔,2006:《上市公司并购的短期和长期股价表现》,《当代经济科学》第3期第28卷。
[10]陈娟,2007:《中国上市公司并购绩效的实证研究》,硕士论文,暨南大学。
[11]杨朝军、刘波,2002:《控制权转移公司的股票价格行为研究》,《中国资本市场前沿理论研究文集》,社会科学文献出版社。
[12]韩立岩、王晓萌,2007:《我国上市公司股权收购公告的财富效应》,《财经问题研究》第1期。
[13]中国证监会,2005:《上市公司股权分置改革管理办法》。
[14]李光耀,2007:《股权分置改革市场效率的实证检验》,硕士论文,武汉科技大学。
[15]贺显南、陈亮,2007:《股改对中国证券市场有效性影响的实证分析》,《金融与投资》第12期。
[16]林少海、田益祥,2007:《股权分置改革对我国证券市场的影响分析》,《金融领域》第2期。
[17]周珺,2007:《股权分置改革对证券市场有效性的影响探索》,《金融与经济》第1期。
[18]中国资本市场论坛,2006:《股权分置改革后的中国资本市场》。
[19]邓昆,2006:《股权分置改革对我国的上市公司要约收购影响研究》,硕士论文,华中科技大学。
[20]李楚建,2007:《股权全流通下上市公司要约收购研究》,硕士论文,四川大学。
[21]郑晓旭、荣蓬,2007:《论股权分置改革后的企业并购财务方式》,《中国管理信息化》第10期。
[22]赵宇龙,1998:《会计盈余披露的信息含量——来自上海股市的经验证据》,《经济研究》第7期。
[23]何德旭、王轶强、王洁,2002:《上市公司信息披露“预警制度”的实证分析——兼论我国证券市场的有效性和过度反应》,《当代经济科学》第3期。
[24]梁娟,2007:《高频透视信息披露的股市反应》,《金融研究》第12期,第165-178页。
[25]Ansoff,H.I. Corporate strategy: An analytic approach to business policy for growth and expansion. New York: McGraw-Hill, 1965.
[26]Eugene F.Fama,1969, Lawrence Fisher, Michael c. Jensen&Richard Roll,“The Adjustment of Stock Prices to New Information”, International Economic Review, February.1-21.
[27]Eugene F.Fama, 1968,“Risk, Return and Equilibrium: Some Clarifying Comments”, The Journal of Finance, Mar.29-40.
[28]Alex Dontoh, Joshua Ronen, 1993,“Information Content of Accounting Announcements”, The Accounting Review, Vol.68, No4, Oct, 857-869.
[29]Beaver R, Kothari S.P.,1968,“The Information Content of Annual Earning Announcement”, Journal of Accounting Research,Vol.18, Supplement,574-584.
[30]A. Craig MacKinlay, 1997,“Event Studies in Economics and Finance”, Journal of Economic Literature, Vol.35, No.1, Mar, 13-39.
[31]约翰.Y.坎贝尔等,2003,《金融市场计量经济学》,上海财经大学出版社。
[2]殷醒民,1999:《企业购并的金融经济学解释》,上海财经大学出版社,第1版。
[3]王咏梅,2005:《年报披露、反应时间与投资决策——股票市场价格反应的持续模型研究》,《北京大学学报》第2期。
[4]杨晓嘉,2007:《上市公司并购绩效及其优化问题研究》,博士论文,湖南大学。
[5]易平、燕艳、蔡金秀,2005:《企业并购理论及上市公司并购效应研究综述》,《广州市经济管理干部学院学报》第2期第7卷。
[6]李哲,2007:《转型期中国国有上市公司并购重组的制度根源与实际绩效》,博士论文,上海交通大学。
[7]李善民、陈玉罡,2002:《上市公司兼并与收购的财富效应》,《经济研究》第11期。
[8]张新,2003:《并购重组是否创造价值》,《经济研究》第6期。
[9]朱滔,2006:《上市公司并购的短期和长期股价表现》,《当代经济科学》第3期第28卷。
[10]陈娟,2007:《中国上市公司并购绩效的实证研究》,硕士论文,暨南大学。
[11]杨朝军、刘波,2002:《控制权转移公司的股票价格行为研究》,《中国资本市场前沿理论研究文集》,社会科学文献出版社。
[12]韩立岩、王晓萌,2007:《我国上市公司股权收购公告的财富效应》,《财经问题研究》第1期。
[13]中国证监会,2005:《上市公司股权分置改革管理办法》。
[14]李光耀,2007:《股权分置改革市场效率的实证检验》,硕士论文,武汉科技大学。
[15]贺显南、陈亮,2007:《股改对中国证券市场有效性影响的实证分析》,《金融与投资》第12期。
[16]林少海、田益祥,2007:《股权分置改革对我国证券市场的影响分析》,《金融领域》第2期。
[17]周珺,2007:《股权分置改革对证券市场有效性的影响探索》,《金融与经济》第1期。
[18]中国资本市场论坛,2006:《股权分置改革后的中国资本市场》。
[19]邓昆,2006:《股权分置改革对我国的上市公司要约收购影响研究》,硕士论文,华中科技大学。
[20]李楚建,2007:《股权全流通下上市公司要约收购研究》,硕士论文,四川大学。
[21]郑晓旭、荣蓬,2007:《论股权分置改革后的企业并购财务方式》,《中国管理信息化》第10期。
[22]赵宇龙,1998:《会计盈余披露的信息含量——来自上海股市的经验证据》,《经济研究》第7期。
[23]何德旭、王轶强、王洁,2002:《上市公司信息披露“预警制度”的实证分析——兼论我国证券市场的有效性和过度反应》,《当代经济科学》第3期。
[24]梁娟,2007:《高频透视信息披露的股市反应》,《金融研究》第12期,第165-178页。
[25]Ansoff,H.I. Corporate strategy: An analytic approach to business policy for growth and expansion. New York: McGraw-Hill, 1965.
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