中國股權分置改革及股東權益之研究

Abstract

本文探討最近中國股權分置改革之成果，主要貢獻分為以下三部份。第一部份探討影響補償方案之因素，結果為非流通股所占的比例、股東權益報酬率(Return of Equity, ROE)以及基金所占流通股比率對補償數額有影響。第二部份，以事件研究法研究股權分置改革措施對於股價的影響，其研究結果為在公佈改革方案後，由於預期將獲得補償，因而使得股價上升。但在實際發放補償後，由於預期發放補償的因素不再，且由於補償的股數在市場上流通後，將導致股價下跌，該部分的結果與價格壓力假說一致。第三部分則探討補償方案是否能夠補償流通股股東，平均而言，股權分置改革措施所給予之補償確能補償流通股股東在股改中所受的損失。

The study investigates the effect of the reform of non-tradable shares in China. It is divided into three parts. In the first section, the multiple linear regression method is used to investigate the factors which affect the amount of the compensation. The result is that the amount of compensation is affected by the ratio of non-tradable shares, ROE and the percentage of tradable shares held by mutual funds. Second, the “Event Study” method is used to investigate the effect of the prices in the process of the reform. The result appears the prices increase after the announcement of the compensation but decrease after the shareholders meeting. This phenomenon can be explained by two reasons. First one is the disappearance of the expectation of the compensation. Second one is the price pressure hypothesis. When the number of outstanding shares increases, the price decreases. In the third section, we find that the compensation is fair to tradable shareholders.