【作者】 闫作远；

【导师】 赵振全；

【作者基本信息】 吉林大学 ， 数量经济学， 2007， 硕士

【摘要】 本文基于同股同权同价原则和数理模型方法,在对前人研究进行充分总结的基础上,以前两批46家试点公司为样本,从合理对价方案设计、不同理性程度投资主体间超常收益率分析以及财富再分配效应等方面,系统研究股权分置改革所涉及到的问题。分析实际对价与合理对价差异,预测股改后股票价格的变动方向,比较不同理性程度下投资者的超常收益率,检验流通股东与非流通股东在股权分置改革中的财富再分配情况。本文研究表明:在股权分置改革过程中,大多数上市公司提供的实际对价方案明显低于合理对价方案;非流通股东是改革过程中最大受益者,流通股东的利益没有得到切实保护;投资者的理性程度影响投资者的收益水平。本文提供了评价各公司对价方案一系列量化方法,具有一定的指导意义。更多还原

【Abstract】 Shareholder structure as a systemic error left over from history and our capital markets unique structural problems besetting China’s long-term development of capital markets. Excessive concentration of state-owned shares in the securities market in our country seriously affected the efficiency and the optimal allocation of resources in scientific management structure of listed companies to establish. May 2005, has more than 10 years of China’s securities market, Shareholder structure issue finally started. As of late 2005, completed and entered the reform process listed companies had more than half the total market value, and ShenZhen SME board had achieved fully circulation. All show that shareholder structure reform which resolves the largest historical problem besetting our stock market is in full swing, the Chinese capital market is in a profound institutional change.In the process of this historic institutional change, systematic study of Economics involved in the shareholder structure reform, will be the important guarantee of protecting the interests of parties investors, reducing costs and the successful completion of the reform. This paper study shareholder structure reform systemically and provide reference basis for government decision-making in the era after shareholder structure reform and the further opening up of market conditions, based on non-arbitrage analysis theoretical framework in modern finance and quantitative methods, in conjunction with the actual situation of two groups of 46 experimental companies, from companies’ performance and their shareholder structures, rational design of consideration schemes, and the effects of wealth redistribution etc.Specific research ideas of this paper as follows: First of all, from the existing literature on shareholder structure reform by starting the discussion of its historical origins, and discuss the specific impact relations between shareholder structure and governance, investment decision-making, financing preferences and strategic choices in listed companies. Secondly, identify the balance consideration from different angles and empirical analyze with data from 46 experimental companies, equitable sharing of benefits and historical retrospective, based on parties investors with inertia behavior in behavior finance and nonhomogeneous expectations hypothetical. Finally, point out that the determination of consideration schemes actually the game results between circulating shareholders and non-circulating shareholders, then, analyze the creation effect to listed companies’ whole wealth of shareholder structure reform and redistributive effects in wealth between different parties investors.This paper is divided into four chapters, specific structured as follows:Chapter 1: Shareholder structure theoretical research synthesis. From the existing literature on shareholder structure reform by starting the discussion of its historical origins, and discuss the specific impact relations between shareholder structure and governance , investment decision-making, financing preferences and strategic choices in listed companies.Chapter 2: Consideration schemes bringing stocks the same as rights in shareholder structure reform. Based on historical retrospective principle and principle of stocks the same as rights and price required in "Company Law", recalculate the history price of issue and financing process later, provide a rational consideration schemes. Conclusions that : actual consideration in most listed companies is lower than rational consideration, according historical retrospective, benefit of circulating shareholders is not fully protected; because of the large gap between actual consideration schemes and rational consideration schemes, market price in the future must return to the rational expected price.Chapter 3: Based on the investors benefit model in behavior finance. Assume that there is irrational inertia behavior of investors in the market, and their irrational behavior are different, discuss the benefit of circulating shareholders during reform, provides consideration in the condition of market balance non-arbitrage. Conclusions that: the bigger the proportion to inertia behavior of circulating shareholders is, the higher the benefit of circulating shareholders when reform implement is; the higher the proportion to giving stocks is, the higher the benefit ratio of original circulating shareholders when reform implement is; the more available funds are, the less differences between investors’ options are, the higher the benefit ratio of original circulating shareholders when reform implement is.Chapter 4: Wealth redistribution effect in shareholder structure reform. The determination of consideration schemes is actually the game result between circulating shareholders and non-circulating shareholders, then, in finite-term conditions, analyzes the creation effect to listed companies’ whole wealth of shareholder structure reform and redistributive effects in wealth between different parties investors. overall, shareholder structure reform can create wealth, with rational consideration schemes, circulating shareholders and non-circulating shareholders can achieve win-win; in several specific schemes, to both sides, warrant schemes and giving stock schemes provide enormous and stable benefit; there are significant differences in different consideration schemes, except in cutting stock schemes, non-circulating shareholders can win clearly higher benefit than circulating shareholders, it means that, in shareholder structure reform, non-circulating shareholders occupy a very advantageous position.更多还原