管理科学
管理科學
관이과학
MANAGEMENT SCIENCES IN CHINA
2013年
6期
48-57
,共10页
控制权转移%市场反应%累计平均超额收益率%事件研究法
控製權轉移%市場反應%纍計平均超額收益率%事件研究法
공제권전이%시장반응%루계평균초액수익솔%사건연구법
control right transfer%market response%CAAR%event study
上市公司控制权转移的市场反应及其影响因素是实证会计研究的重要议题。在梳理控制权转移的方式、提炼和分析控制权转移市场反应影响因素的基础上，选取2007年至2011年第一大股东发生变更的上市公司为样本，采用事件研究法从发生控制权转移的上市公司股价变动的累计平均超额收益角度检验控制权转移的市场反应，运用多元回归法分别检验控制权转移的市场反应的影响因素。研究结果表明，全窗口期（-20，20）股价变动的累计平均超额收益率为13．549％，以事件日为临界点，呈现出先剧烈后舒缓的增长趋势，直至增长态势消失，说明存在信息提前泄露的情况，控制权转移的信息在事件日前已经被消化；行业变更、高管变更、转让价格与二级市场价格的比值、高管持股变更、现金支付等因素使投资者获得更高的超额收益，而转让方式影响不显著；转让价格的影响最显著，说明转让价格在控制权转移市场反应中的敏感性高。研究结果为控制权市场的规范和监管提供依据。
上市公司控製權轉移的市場反應及其影響因素是實證會計研究的重要議題。在梳理控製權轉移的方式、提煉和分析控製權轉移市場反應影響因素的基礎上，選取2007年至2011年第一大股東髮生變更的上市公司為樣本，採用事件研究法從髮生控製權轉移的上市公司股價變動的纍計平均超額收益角度檢驗控製權轉移的市場反應，運用多元迴歸法分彆檢驗控製權轉移的市場反應的影響因素。研究結果錶明，全窗口期（-20，20）股價變動的纍計平均超額收益率為13．549％，以事件日為臨界點，呈現齣先劇烈後舒緩的增長趨勢，直至增長態勢消失，說明存在信息提前洩露的情況，控製權轉移的信息在事件日前已經被消化；行業變更、高管變更、轉讓價格與二級市場價格的比值、高管持股變更、現金支付等因素使投資者穫得更高的超額收益，而轉讓方式影響不顯著；轉讓價格的影響最顯著，說明轉讓價格在控製權轉移市場反應中的敏感性高。研究結果為控製權市場的規範和鑑管提供依據。
상시공사공제권전이적시장반응급기영향인소시실증회계연구적중요의제。재소리공제권전이적방식、제련화분석공제권전이시장반응영향인소적기출상，선취2007년지2011년제일대고동발생변경적상시공사위양본，채용사건연구법종발생공제권전이적상시공사고개변동적루계평균초액수익각도검험공제권전이적시장반응，운용다원회귀법분별검험공제권전이적시장반응적영향인소。연구결과표명，전창구기（-20，20）고개변동적루계평균초액수익솔위13．549％，이사건일위림계점，정현출선극렬후서완적증장추세，직지증장태세소실，설명존재신식제전설로적정황，공제권전이적신식재사건일전이경피소화；행업변경、고관변경、전양개격여이급시장개격적비치、고관지고변경、현금지부등인소사투자자획득경고적초액수익，이전양방식영향불현저；전양개격적영향최현저，설명전양개격재공제권전이시장반응중적민감성고。연구결과위공제권시장적규범화감관제공의거。
The influencing factors of and the market response of the listed company′s control right transfer is a momentous topic of empirical research of accounting .On the basis of defining the meanings of control right transfer , extracting and analyzing the fac-tors affecting the market response to control right transfer , this paper selected the listed companies whose largest shareholder changed between 2007 and 2011 as samples.Firstly, it validated the extent of the market response to control right transfer by method of event study from the cumulative average abnormal returns (CAAR) in the listed companies, which the control transfer occurred.Secondly, it validated the influencing factors of the market response to control right transfer by method of multiple re -gression.The result of calculating CAAR between the whole window period (-20, 20) was 13.549%.Furthermore, the event date was the critical point of the extent of growth .CAAR increased dramatically before the event date and slowly increase to stabil -ity.The result indicates that the information leakage exists and that the information of control right transfer has been digested .In addition, the companies that changed industries , changed senior executive, had high transfer price compared with secondary mar-ket, changed senior executive ownership , and paid in cash had higher excess returns .However, the factor of transfer method has not been verified.At the same time, the empirical result showed that transfer price is the most significant factor .It revealed the high sensitivity of transfer price in the market response to control right transfer and provided guidance for the control market regu -lation and supervision basis.
