整体上市股票超额收益率及其影响因素研究

上海交通大学硕士学位论文整体上市股票超额收益率及其影响因素研究姓名：张逊申请学位级别：硕士专业：金融学指导教师：杨朝军200901011,23STUDYOFHOLISTICLISTINGSTOCKS’ABNORMALRETURNANDITSINFLUENCIALFACTOESABSTRACTAfterthestockreform,manyholisticlistingstocksgainedsurprisingrateofreturnrightaftertheinformationdisclosure,whichbecamethefocusofthestockmarket.Thisthesisanalyzedthemainfactorsinfluencingtheholisticlistingstocks’abnormalreturnbasedonthetwodifferentapproaches.Privateplacementsapproachandstock-for-stockmergeapproacharethetwousualholisticlistingapproachesafterthestockreform,whicharemakingthe“assetandequityexchange”andfundamentallydifferentfromthe“assetandcashexchange”thatoftenusedbeforethestockreform.Thisthesisbuildsupthekey-factorsmodelandthegamemodelbetweenthebigandsmallshareholders.Theissuingpriceofprivateplacement,thevaluationofinjectedassetsanditsearningpowerarethekeyfactorsimpactingtheholisticlistingstocks’abnormalreturn;therationalshareholdersshouldchoosethetimethatthelistedcompanyisundervaluedtocarryouttheholisticlisting,whichalso4inlinewiththesmallshareholdersinterests.However,thebigshareholdersthatpaymoreattentionontheshortterminterestswillchoosethebullmarkettimetomaketheholisticlisting,whichismuchmoreclosetothereality.Thesynergycreatedintheholisticlistingprocessisthebasisoftheabnormalreturnwhilethebigandsmallshareholders’interestsarederivedfromthevalueofthesynergy.However,Bigandsmallshareholders’interestsareconflictedwitheachotherontheissuingpriceofprivateplacementandthevaluationofinjectedassets.Thisthesisusestheeventstudymethodtoinvestigatetheabnormalreturnfromtwodimensionssuchasdifferentapproachesanddifferentactualcontrollers.Theholisticstockscouldgaintheabnormalreturnduringtheshorttimebeforeandaftertheinformationdisclosure.Theabnormalreturngainedbythestock-for-stockmergeapproachishigherthanthatoftheprivateplacementsapproachwhilethemainreasonistherelativescaleoftheinjectedassets.Thevolatilityoftheprivateplacementsapproach’sabnormalreturnislowerthanthatofthestock-for-stockmergeapproach,indicatingthatthestockmarket’spricingofthisapproachisfasterandmoreefficient.Theabnormalreturngainedbytheprivateownedenterpriseishigherthanthatofthestateownedenterpriseandthelocalgovernmentownedenterprisewhilethemainreasonistheearningpoweroftheinjectedassets.Thescaleof5theinjectedassetsisthemainfactorinfluencingtheabnormalreturn.Theabnormalreturngainedbeforetheinformationdisclosureremindsthesupervisorsstrengthenthesupervision.Thisthesisanalyzedfourholisticlistingcompanies,althoughtheyhavedifferentcharacters,thekeyfactorscouldbeusedtointerprettheabnormalreturns.KEYWORDS:Holisticlisting,Abnormalreturn,Privateplacementapproach,Stock-for-stockmergeapproach()1311.12008IPO1.22.214200412(2004)1232007200712320054200512345620071234155620051TCL2345200712320071234200712320051234161.3171-1:Figure1-1:Logicstructureofthethesis…CAPM2822.12.2292.2.1R(A)R(B)ABC(A)C(B)ABR(AB)C(AB)R(AB)R(A)R(B)C(AB)C(A)C(B)2.2.2210ST2.2.36008032.2.4702112-1Figure2-1:ThebestboundaryoftheenterprisescaleMMM2-2Figure2-2:ThedeterminationoftheenterpriseboundaryAMBA212AB2.2.52.2.62132.32142.42.4.120082.4.2200582005111200612200712152.4.331633.11994IPO3-1Figure3-1:ThetransitionofthelistingappoachAIPO3173-2Figure3-2:Theholiticlistingappoaches200711206641%33%3%3%14%3%3%3-3Figure3-3:Thepropotionofdifferentholisticlistingappoaches80IPO31874143.210()600150601919123453.3TCL0001006000181233A600018TCLTCL31912343.46000193203.53-4Figure3-4:Theholisticlistingpathbeforethestockreform3-5Figure3-5:Theholisticlistingpathafterthestockreform42144.180144.1.14.1.1.12007112041123NNNN=++4-1N1N2N3N1001/NN2/NN3/NN0p0V400/NVp=*N*1234NNNNN=+++4224-2*N14NN+2N3N100*14()/NNN+*2/NN*3/NN4N4N0R1R4.1.1.2*010112300()/()/(/)EPSRRNRRNNNVp=+=++++4-11N2N3N0R1R0V0p11234/1/()0EPSRNNNN∂∂=+++4-2200101234/()/[()]0EPSVRRpNNNN∂∂=−++++4-322000101234/[()]/[()]0EPSpVRRpNNNN∂∂=++++4-41R0p0V4234.1.1.34.1.1.3.1PE1234()MVEPSPENNNN=××+++4-511401141234()()()/()MVEPSPENNPERRNNNNNN=××+=×+×++++4-60V210012301234/()()/[()]0MVVPERRNNpNNNN∂∂=×+×++++4-70P2100123001234/()()/[()]0MVpPERRNNVpNNNN∂∂=−×+×+×+++4-81R11141234/()/()0MVRPENNNNNN∂∂=×++++4-91R4.1.1.3.22MV3MV424220121234()/()MVEPSPENPERRNNNNN=××=×+×+++4-10330131234()/()MVEPSPENPERRNNNNN=××=×+×+++4-110V22001201234/()/[()]0MVVPERRNpNNNN∂∂=−×+×+++4-1223001301234/()/[()]0MVVPERRNpNNNN∂∂=−×+×+++4-130p220012001234/()/[()]0MVpPERRNVpNNNN∂∂=×+××+++4-14230013001234/()/[()]0MVpPERRNVpNNNN∂∂=×+××+++4-150p1R2121234//()0MVRPENNNNN∂∂=×+++4-163131234//()0MVRPENNNNN∂∂=×+++4-171R4.1.24.1.2.12007112041425123NNNN=++4-3N1N2N3N1001/NN2/NN3/NN0p01V02V01020VVV+=41010/NVp=42020/NVp=441420102000()//NNNVVpVp=+=+=*N*1234NNNNN=+++4-4*N141NN+242NN+3N100*141()/NNN+*242()/NNN+*3/NN4N41N42N42641N42N4.1.2.24.1.2.2.1*0101123010020()/()/(//)EPSRRNRRNNNVpVp=+=+++++4-18PE1234()MVEPSPENNNN=××+++4-191141011411234()()()/()MVEPSPENNPERRNNNNNN=××+=×+×++++4-2001V01V01V210101234201234/()()/[()]0MVVPERRNNNpNNNN∂∂=×+×+++++4-2102V02V*2102011234410/()(2)/()0MVVPERRNNNNNpN∂∂=−×+×++++4-2202V0p*210010210120130/()()/()MVpPERRVNVNVNpN∂∂=×+×−−4-2342710/0MVp∂∂02