非流通与流通股东

RESEARCHREPORT2004.8.900942.......................................................................................................................3Abstract.........................................................................................................................5...........................................................................61...........................................................................62...............................................................93.....................................11.........................................................................................141.........................................................................................................142.........................................................................................................143.............................................................................................194.........................................................................................................20.....................................................................................................201.............................................................212.........................................................223.....................................................................................24.....................................................................291.....................................................................292.......................................................303.....................................................................................33.....................................................................................371.................................................................................372.............................................383.....................................................................................40.........................................................................................441.........................................................................................................442.........................................................................................................453.................................................................................46.............................................................................................................4831145AbstractThisstudyexaminestheinfluenceofcashdividendpolicy,relatedpartyloansandrightissuesonpricediscountsbetweenfloatingandnon-floatingsharesintransitionalChinastockmarket.Ourfindingssuggestthat(i)theamountofcashdividendpaymentisnegativelyrelatedtopricediscountsbetweenfloatingandnon-floatingsharesiftheratioofnon-floatingsharesintotalshareoutstandingishigh,(ii)theamountofrelatedpartyloansisnegativelyrelatedtopricediscountsbetweenfloatingandnon-floatingsharesifthedifferencebetweencash-flowrightsandvotingrightsishigh,and(iii)rightissueshavesignificantnegativeinfluenceonpricediscountsbetweenfloatingandnon-floatingshares.Overall,thisstudypresentsevidencethattheseparationbetweenfloatingandnon-floatingsharesresultsinsevereexpropriationoffloatingshareholders.Thisstudyconcludesthattheexpropriationoffloatingshareholderscanbemitigatedbyeffectivecorporategovernanceandvoluntaryinformationdisclosure.KeyWords:PricePremiumCashDividendsRelated-partyLoansRightIssue6——178(PutOption)92102220043201132002720%12131412001231A320020010050%(102)(28)(11)(8)(16)(6)(11)(7)(8)(3)23ST154545166PFPSPPNPPSPCPFNPPPPC7PFNPPP6717PC89PP-PCPPFNP(DIV)(LOAN)(RIGHTISSUE)(SIZE)(GROW)(LEV)(EARN)BLOCKCHANGE1PP-PC=P=(PF-NP)/PF=f(DIVSIZEGROWLEVEARNBLOCKCHANGE)2PP-PC=P=(PF-NP)/PF=f(LOANSIZEGROWLEVEARNBLOCKCHANGE)3PP-PC=P=(PF-NP)/PF=f(RIGHTISSUESIZEGROWLEVEARNBLOCKCHANGE)PF448Barcley,Holderness(1989)918NP10DIV10LOANRIGHTISSUE10SIZEGROWLEVEARNBLOCKCHANGE10101015%193113P0.7130%100.44106.60LOAN1.0312%50%SIZE17.8921.15GROW6.051.120.510.901P2000.710.120.320.91DIV2000.440.8906.60LOAN20018.361.0316.1221.15RIGHTISSUE2000.120.3201BLOCKCHANGE2000.500.5001SIZE20020.610.8317.8922.75LEV2000.510.200.080.90GROW2002.470.961.126.05EARN2000.0240.423-1.721.6020PPFNPPFPF44NPDIV10LOANRIGHTISSUE10BLOCKCHANGE10SIZEGROWLEVEARN4211FamaandFrench(2001)1926-2000198050%HealyandPalepu(1988)JevonsandXiang(2002)199650%A1996-199925-30%A2000-2003A50%22A2(MillerandRock,1985)(Jensen,1986)(ShleiferandVishney,2001)2312()24()12321252()Intercept0.99(0.19)6.11***DIV-0.01(0.01)-0.63BLOCKCHANGE0.02(0.01)1.43SIZE-0.15(0.01)-6.99***LEV0.11(0.02)4.13**EARN0.07(0.01)6.44***GROW0.03(0.01)2.34**0.31F_17.03****0.10**0.05***0.0126P=Intercept+b1*DIV+b2*BLOCKCHANGE+b3*SIZEb4*LEV+b5*EARN+b6*GROW+ResidualPPFNPPFPF44NPInterceptDIV10BLOCKCHANGE10SIZEGROWLEVEARNResidual(HOLD)1(HOLD_DIV)3()Intercept1.18(0.16)10.09***DIV0.02(0.01)1.25HOLD0.01(0.02)0.19HOLD_DIV-0.03(0.01)-3.21**BLOCKCHANGE0.02(0.01)1.41SIZE-0.14(0.01)-6.80***LEV0.11(0.03)4.13***EARN0.07(0.01)6.27***GROW0.04(0.04)2.44**0.33F_18.52***