市場流通性對股價的影響 : 中國股權分置改革的實證研究

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市場流通性對股價的影響 : 中國股權分置改革的實證研究

 

Author: 孫謙
Sun, Qian
Title: 市場流通性對股價的影響 : 中國股權分置改革的實證研究
Shi chang liu tong xing dui gu jia de ying xiang : Zhongguo gu quan fen zhi gai ge de shi zheng yan jiu
The benefits of public trading : evidence from the split share structure reform in China
Degree: D.Mgt.
Year: 2008
Subject: Hong Kong Polytechnic University -- Dissertations.
Stock splitting -- China.
Department: Graduate School of Business
Pages: xi, 89 leaves : charts ; 30 cm.
Language: Chinese
InnoPac Record: http://library.polyu.edu.hk/record=b2300997
URI: http://theses.lib.polyu.edu.hk/handle/200/3923
Abstract: In April 2005, China launched "the Split-Share Structure Reform", aiming at improving the marketability of non-tradable shares and at resolving an historical problem of the split-share structure. Under the split-share structure, there exist two types of shares for listed companies: non-tradable shares (69% on average) trading at substantial discounts and tradable shares (31% on average). The Reform is compulsory for all the listed companies to undertake within the next one and half years. Thus it provides us with a unique opportunity to investigate the impacts of factors such as marketability, ownership structure, and stock issue privatization on stock valuation. In this study, I adopt a two-stage approach to examine the market effects of the Reform. First, I use an event study methodology to measure the stock price reaction to the new policy. In particular, I define the announcement day of the first listed company that carrys out the reform policy as the event day, and obtain the mean cumulative abnormal returns (CAAR). Overall, market reacts positively to the announcement of the Reform. Second, I conduct cross-sectional regressions to identify factors that explain individual firm's cumulative abnormal return (CAR), using a sample of 802 companies. The main results are summarized as follows. (a) Historical stock volatility is positively associated with the CAR, supporting the prediction of Longstaff's (1995) theoretical model on marketability. (b) The fraction of non-tradable shares is positively associated with the CAR. (c) Firm's need for external funds is found to be positively related to the CAR. (d) Holdings by institutional investors are negatively associated with the CARs. Finally, policy implications of the findings and limitation of the study are also discussed in the concluding chapter of this dissertation.

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