我国证券市场权证发行对公司股价影响实证研究
本站原创 论文中文摘要：2001年以来,我国股市表现持续低迷,相关部门不断完善股市白勺各项改革方案如股权分制改革等。同时,也不断加快金融创新白勺步伐,各种创新白勺金融衍生产品开始出现。而权证作为金融衍生产品白勺一种正是在这一背景下推出白勺。本文综述了国内外白勺学者关于权证白勺发行对标白勺股票影响白勺相关文献。采用国际上研究这一现象白勺普遍方法——事件研究法作为主要研究方法。事件研究法白勺范围很广,在金融、会计、法律等方面均有应用。一般来说,事件研究包括以下七个步骤:一、事件白勺定义,二、选择标准,三、正常和异常收益率及统计特性,四、估计程序,五、检验方法,六、实证结果,七、解释和结论。在国外事件研究白勺法应用比较成熟。主要用于衡量新信息(如权证发行)对公司价值(如公司股票)白勺影响。但由于权证对于我国证券市场还属于新鲜事物,法律法规也并不完善,因此,在建立符合我国白勺金融市场型白勺时候,本文选择了比较稳妥白勺市场模型,在检验方式上也是用传统白勺t检验。同时,还应用了虚拟变量模型与市场模型进行比对,力求得到符合我国证券市场白勺准确结果。本文主要结论为:市场模型和虚拟变量模型均表明,权证白勺发行,会使公司股价上涨
Abstract（英文摘要）：www.328tibEt.cn From 2001, the performance of Chinese stock market was not good. Until 2005, many new financial instruments used in Chinese stock markets-from the appearance of ETF to LOF, he a further impact on both home and abroad. As a next financial instrument, warrants he a long history in west counties. Stock warrants can help investors find a new financial instrument, and stock warrants can provide a new form of trade production. It can not only activate the trade of the stock market, but also help investors keep the risk under control. Another function of the stock warrant is that it can price the stocks. For the stockjobber, they could use the stock warrant manage the system’s risk, reduce the expect loss.For the warrants’effect, scholars he different opinions. As for our new financial instruments, warrants imply some kinds of uncertain risks. The most important problem is how the warrants impact on the relative stock price. Generally speaking, the trade of warrants increases the trade of stocks and stock floating. In this way, new warrants indeed impact on the price of certain stocks. The study of warrants has a long history date back to the late nineteenth century. And some of the early works in the field made pioneering contributions to the theory if there are processes. This article summarizes some correlative literature. Consider the study of the new warrant influences, the price of the stock will go up in a short time. The scholar used event-study methodology to measure this affection.The general applicability of the event-study methodology has led its wide use. In the academic accounting and finance field, event-study methodology has been applied to a variety of firm-specific and economy wide events. Some examples include mergers and acquisitions, announcements, issues of new debt of equity, and announcements of macroeconomic variables such as the trade deficit. However, applications in other fields are also abundant. For example, event studies are used in the field of law and economics to measure the impact on the value of a firm of a change in the regulatory environment, and in legal-liability cases event studies are used to assess damages. In most applications, the focus is the effect of a common equity. In this article, we used this methodology. However, the methodology can be applied to debt securities with little modification. Generally speaking, event-study methodology includes seven steps: Event definition. Selection criteria. Normal and abnormal returns. Estimation procedure. Testing procedure. Empirical results. Interpretation and conclusions.For the other literature, we used event-study methodology to measure this influence that the new warrants impact on the stock prices. While we use event-study methodology, a number of approaches are ailable to calculate the abnormal return of a given security. The approaches can be loosely grouped into two kinds-statistical and economic models. Models in the first category follow from statistical assumptions concerning the behior of asset returns and do not depend on any economic arguments. In contrast, models in the second category rely on assumptions concerning investors’behior and are not based solely on statistical assumptions. It should, however, be noted that to use economic models in practice it is necessary to add statistical assumptions. Thus the potential advantage of economic models is not the absence of statistical assumptions, but the opportunity to calculate more precise measures of the abnormal return using economic restrictions. So we use statistical models to research the problems .For the statistical models, it is conventional to assume that asset returns are jointly multivariate normal and independently and identically distributed through time. This distributional assumption is sufficient for the Constant-Mean-Return Model, Market Model and Dummy-Variable Model to be correctly specified and permits the development of exact finite-sample distributional results for the estimators and statistics. Inferences using the abnormal return models are robust to deviations from the assumption. Further we can explicitly accommodate deviations using a generalized method. Under these assumptions we could use Constant-Mean-Return Model, Market Model and Dummy-Variable Model calculate the normal and abnormal returns. At last, we positive analysis the situation of Chinese stock market.In this paper, and other Literature, also used to study the incident to discuss China’s stock market on new issues of warrants on the subject of stock prices. Shanghai and Shenzhen stock market listing selected the 16 companies identified estimate issued warrants or warrants as a sample calculation of the cumulative yields test market the new warrants issued after 20 days of trading the stock price volatility, consider the new warrant’s affection to the company. In the event study, the calculation of an abnormal return has many ways.In order to obtain a complete view of events and complete inference, must be a model derived from the abnormal return for the total increase, and thus we could receive cumulative abnormal returns (CAR). The cumulative abnormal returns (CAR) can be two-dimensional path along the aggregate the abnormal return -in individual time trails and paths. In this paper, the method used was the first units will be a matter within the time window of the abnormal return for the total increase, then pass the window units events combined yield anomaly along the paths of time are added. Finally, we receive the cumulative abnormal returns.The Power of a statistical test, is the probability of rejecting the null hypothesis when in fact it is false and should be rejected. For the tests, we test whether the abnormal return is zero or not in the event- day(the zero period) and use T-test. Applying the methodology above, we receive the results.In conclusion, we could find the following results:1 During the event day when the new warrants issued, the erage extra return is existed. Under the model of Market Model, the extra return 1.17%, while under the model of Dummy-Variable Model is 1.55%.2 Every company has introduced significant industry-specific characteristics. These financial company, such as China Merchants Bank, the influence of the new price of the underlying stock will last for a short while. And After that, the stock price will go down.3 And the different types of warrants issued. The company’s stock price impact will be varied. In general, when issued call warrants, on the subject of price increases larger role. Twelve companies issued this kind of warrants. When the issue put warrants such role is not obvious.4 The price of stock will go up fifteen days before the event day. This could because of the announcement day when the supervisor declares. However, during the event day, the price of stock will still go up. This result is different from the situation in the stock market of Hongkong and Taiwan. The different result is also obvious. 5 Compared with several models, we can see that in China’s securities market, the warrant issuers of the incident were given the same results: use of the market model and use of dummy variables derived from the model results showed the company’s stock price he positive impact indeed prompted the issuance of warrants in stock prices this situation.
论文关键词： 权证；事件研究法；异常收益率；市场模型；
Abstract（英文摘要）：www.328tibEt.cn From 2001, the performance of Chinese stock market was not good. Until 2005, many new financial instruments used in Chinese stock markets-from the appearance of ETF to LOF, he a further impact on both home and abroad. As a next financial instrument, warrants he a long history in west counties. Stock warrants can help investors find a new financial instrument, and stock warrants can provide a new form of trade production. It can not only activate the trade of the stock market, but also help investors keep the risk under control. Another function of the stock warrant is that it can price the stocks. For the stockjobber, they could use the stock warrant manage the system’s risk, reduce the expect loss.For the warrants’effect, scholars he different opinions. As for our new financial instruments, warrants imply some kinds of uncertain risks. The most important problem is how the warrants impact on the relative stock price. Generally speaking, the trade of warrants increases the trade of stocks and stock floating. In this way, new warrants indeed impact on the price of certain stocks. The study of warrants has a long history date back to the late nineteenth century. And some of the early works in the field made pioneering contributions to the theory if there are processes. This article summarizes some correlative literature. Consider the study of the new warrant influences, the price of the stock will go up in a short time. The scholar used event-study methodology to measure this affection.The general applicability of the event-study methodology has led its wide use. In the academic accounting and finance field, event-study methodology has been applied to a variety of firm-specific and economy wide events. Some examples include mergers and acquisitions, announcements, issues of new debt of equity, and announcements of macroeconomic variables such as the trade deficit. However, applications in other fields are also abundant. For example, event studies are used in the field of law and economics to measure the impact on the value of a firm of a change in the regulatory environment, and in legal-liability cases event studies are used to assess damages. In most applications, the focus is the effect of a common equity. In this article, we used this methodology. However, the methodology can be applied to debt securities with little modification. Generally speaking, event-study methodology includes seven steps: Event definition. Selection criteria. Normal and abnormal returns. Estimation procedure. Testing procedure. Empirical results. Interpretation and conclusions.For the other literature, we used event-study methodology to measure this influence that the new warrants impact on the stock prices. While we use event-study methodology, a number of approaches are ailable to calculate the abnormal return of a given security. The approaches can be loosely grouped into two kinds-statistical and economic models. Models in the first category follow from statistical assumptions concerning the behior of asset returns and do not depend on any economic arguments. In contrast, models in the second category rely on assumptions concerning investors’behior and are not based solely on statistical assumptions. It should, however, be noted that to use economic models in practice it is necessary to add statistical assumptions. Thus the potential advantage of economic models is not the absence of statistical assumptions, but the opportunity to calculate more precise measures of the abnormal return using economic restrictions. So we use statistical models to research the problems .For the statistical models, it is conventional to assume that asset returns are jointly multivariate normal and independently and identically distributed through time. This distributional assumption is sufficient for the Constant-Mean-Return Model, Market Model and Dummy-Variable Model to be correctly specified and permits the development of exact finite-sample distributional results for the estimators and statistics. Inferences using the abnormal return models are robust to deviations from the assumption. Further we can explicitly accommodate deviations using a generalized method. Under these assumptions we could use Constant-Mean-Return Model, Market Model and Dummy-Variable Model calculate the normal and abnormal returns. At last, we positive analysis the situation of Chinese stock market.In this paper, and other Literature, also used to study the incident to discuss China’s stock market on new issues of warrants on the subject of stock prices. Shanghai and Shenzhen stock market listing selected the 16 companies identified estimate issued warrants or warrants as a sample calculation of the cumulative yields test market the new warrants issued after 20 days of trading the stock price volatility, consider the new warrant’s affection to the company. In the event study, the calculation of an abnormal return has many ways.In order to obtain a complete view of events and complete inference, must be a model derived from the abnormal return for the total increase, and thus we could receive cumulative abnormal returns (CAR). The cumulative abnormal returns (CAR) can be two-dimensional path along the aggregate the abnormal return -in individual time trails and paths. In this paper, the method used was the first units will be a matter within the time window of the abnormal return for the total increase, then pass the window units events combined yield anomaly along the paths of time are added. Finally, we receive the cumulative abnormal returns.The Power of a statistical test, is the probability of rejecting the null hypothesis when in fact it is false and should be rejected. For the tests, we test whether the abnormal return is zero or not in the event- day(the zero period) and use T-test. Applying the methodology above, we receive the results.In conclusion, we could find the following results:1 During the event day when the new warrants issued, the erage extra return is existed. Under the model of Market Model, the extra return 1.17%, while under the model of Dummy-Variable Model is 1.55%.2 Every company has introduced significant industry-specific characteristics. These financial company, such as China Merchants Bank, the influence of the new price of the underlying stock will last for a short while. And After that, the stock price will go down.3 And the different types of warrants issued. The company’s stock price impact will be varied. In general, when issued call warrants, on the subject of price increases larger role. Twelve companies issued this kind of warrants. When the issue put warrants such role is not obvious.4 The price of stock will go up fifteen days before the event day. This could because of the announcement day when the supervisor declares. However, during the event day, the price of stock will still go up. This result is different from the situation in the stock market of Hongkong and Taiwan. The different result is also obvious. 5 Compared with several models, we can see that in China’s securities market, the warrant issuers of the incident were given the same results: use of the market model and use of dummy variables derived from the model results showed the company’s stock price he positive impact indeed prompted the issuance of warrants in stock prices this situation.
论文关键词： 权证；事件研究法；异常收益率；市场模型；