深市上市公司控制权转移的市场反应

国外大量的实证研究认为公司控制权市场的存在能够为股东创造价值。由于我国上市公司国有股和法人股不能上市流通,通过场外交易的公司控制权转移是否也能为股东创造价值是一个需要实证的命题。以我国2000～2003年深市发生的61起上市公司第一大股东变更为研究样本,应用事件研究法对我国控制权市场的作用进行了检验。采用的标准化残差方法克服了事件研究中因控制权转移事件引起的股价波动性变化对统计结果的影响,同时分析了在控制权公告期内股票成交量的异常变化。研究结果发现,控制权转移期间上市公司的股东平均获得3.857%的累积超额收益率,深市的上市公司控制权转移信息存在明显的提前泄漏现象。

Market Response to the Control Transfer of Listed Companies in Shenzhen Security Market

Abundant literatures and empirical researches can verify that the market of corporate control rights plays a role in increasing the value of the shareholders. Because of the liquidity deficiency on Chinese state-owned company shares,it remains an empirical question whether such a market has the same function as it does in the foreign market for corporate control rights. Based on the 61 cases of changes in large shareholders in Shenzhen security market from 2000 to 2003, this research has examined the role of the Chinese market for corporate control rights by means of case study. Standardized residual method solves the problem that the change in volatility, which is caused by control transfer,has negative effect on statistical results. The abnormal change in stock volume is analyzed during the event window around the announcement on control transfer. Findings in this paper indicate that the cumulative abnormal returns that shareholders obtained was 3.857% during the period of control transfer and there is an obvious leakage in advance on information of control transfer.