上市公司定向增发中大股东操纵股价行为实证研究

运用事件研究法,以我国2009—2011年已完成定向增发的109家上市公司为研究样本,分别检验定价基准日前后连续20个交易日的累计超额收益率情况。研究结果表明,以大股东为主的定向增发,定价基准日前20个交易日的累计超额收益率为负,后20个交易日的累计超额收益率为正;而以机构投资者为主的定向增发,定价基准日前20个交易日的累计超额收益率为正,后20个交易日的累计超额收益率为负。这表明,在上市公司定向增发中普遍存在大股东操纵股价行为。

Empirical study on stock price manipulation by large shareholders in private investment of listed companies

By applying event study, 109 listed companies which have accomplished private investment from 2009 to 2011 are selected as a research sample, and the cumulative above-normal return of 20 continuous trading days before and after the pricing benchmark is tested respectively. The results show that in private investment mainly by large shareholders, the cumulative above-normal return in 20 trading days before pricing benchmark is negative, and the cumulative above-normal return in 20 trading days after it is positive; while in private investment mainly by institutional investors, the cumulative above-normal return in 20 trading days before pricing benchmark is positive, and the cumulative above-normal return in 20 trading days after it is negtive. It shows that there generally exsits stock price manipulation by large shareholders in private investment of listed companies.