大股东股权质押与上市公司资本运作

资本运作一方面可以提高股价,另一方面可以让公司股票停牌,那么是否会成为大股东度过质押风险的方式呢？基于此,本文以2007—2018年我国A股上市公司为研究对象,考察了大股东股权质押对上市公司资本运作的影响及其作用机制。研究发现:(1)大股东股权质押比例越高,上市公司进行资本运作的可能性越大; 这一关系在质押股权面临的平仓风险越高和非国有控股的上市公司中更为显著。(2)机制检验发现,随着质押比例的提高,上市公司进行资本运作后的停牌时间越长;从股价提升的效果来看,资本运作在短期内能提高股价,缓解质押风险,但从长期来看效果并不显著。(3)上市公司进行资本运作的方式主要为股权转让、资产收购和资产剥离;其中,大股东主要利用资产收购和资产剥离增加停牌时间,利用股权转让助推股价。在控制了潜在的内生性问题影响以及各种稳健性检验下,上述结论仍然成立。     

Shareholder composition,share turnover,and returns in volatile markets: The case of international REITs

The shareholder composition of listed property companies has changed from the fragmented, retail ownership, to more concentrated, institutional ownership over the past decade. In this paper, we first document significant variation in the composition of the shareholder base across the world's five largest listed property markets. We then examine the relation between the composition of the shareholder base and stock market performance and share turnover during the turbulent trading days of 2008 and 2009. By directly relating the shareholder base of firms to excess returns and turnover on these volatile days, we are able to isolate the importance of shareholder composition during periods when trading behavior is most likely to vary across different types of shareholders. We find that both large block holdings and high levels of institutional ownership decrease trading volumes and moderate stock returns; however, the effects largely occur when stock prices move sharply downward. Moreover, these effects are strongest when ownership concentration and institutional ownership exceed 25 percent. We also find that the disaggregation of institutional investors into distinct categories (banks, pension funds, advisors, etc.) increases our understanding of stock trading and share price dynamics of listed property companies.     

Are Economically Significant Stock Returns and Trading Volumes Driven by Firm‐specific News Releases?

This paper explores whether firm‐specific information events drive economically relevant positive and negative stock price changes and trading volume and, if so, the nature of such information. We find that no less than 65% of significant price changes and trading volume movements in our sample of FTSE 350 companies can be readily explained by public domain information contradicting the thesis that corporate news is not a primary driver, and that share price changes and trading volume activity are driven by factors unrelated to information flows per se. In addition, we find that a parsimonious set of news categories represent the key drivers. Sell‐side analyst stock recommendations and earnings forecast revisions as a class, unaccompanied by other news releases, dominate all other news categories in terms of significant market reaction. However, taking into account the relative magnitude of market response to different news releases, firms' formal accounting disclosures dominate within this domain. As such, we conclude these are not fully anticipated by apparently more timely market disclosures, and that the existence of news services and the activities of the sell‐side analyst are not substitutes for a firm's interim and preliminary results.     

The impact of internet stock message boards on cross-sectional returns of small-capitalization stocks

We examine the impact of more than 2.5 million HotCopper messages on the Australian stock market. HotCopper is the largest online stock message board in Australia and the sample of messages covers over 2000 companies listed on the Australian Securities Exchange (ASX) from January 2003 through December 2008. We exclude messages surrounding public price-sensitive announcements released centrally by the ASX in order to examine the private information content of internet board messages. We find that the number of board messages and message sentiment significantly and positively relate to the contemporaneous returns of underperforming (low ROE, EBIT margin, EPS) small capitalization stocks with high market growth potential (low book-to-market). Posting activity is positively associated with trading volume for small stocks and negatively associated with bid-ask spreads for small and large stocks in the short term. Bullish small stocks outperform bearish ones significantly in respective days and months, exhibiting no return reversals to pre-message board activity levels in subsequent time periods. Large stocks are not found to be affected by message board activity. We conclude that higher message board activity quickly reflects itself into the prices of small capitalization stocks in a highly regulated market like the ASX.     

The impact of sell-side analyst research coverage on an affiliated broker’s market share of trading volume

Using NASDAQ reported individual stock level trading volume, we find that analyst research coverage on a stock increases the level of an affiliated broker’s market share of trading volume in that stock by 0.8 percent, on average, which corresponds to an additional annual volume of about one million shares in an average stock. Optimistic recommendations increase the level of market share by an additional 0.3 percent, on average, which is consistent with the notion that analysts have an incentive to issue optimistic recommendations. Also, a broker’s market share of volume increases on average when an affiliated analyst changes his/her recommendation, and decreases with the length of time during which an analyst maintains the same recommendation on a stock. The latter findings suggest that sell-side institutions are rewarded for providing new information to the market and for ongoing research services.     

Internet search intensity,liquidity and returns in emerging markets

Using a sample of listed companies in the Vietnam stock market from 2013 to 2018, this paper investigates the linkage between Internet search intenseness and stock returns and trading volume. The empirical results confirm the “price pressure hypothesis” that search intensity is positively associated with subsequent stock returns and trading volume. It also finds that the positive effects on stock returns are not temporary but remain for the long term although some reversals occur. The results show that the effects of search intensity on stock returns are higher for large stocks than for small stocks. The findings also reveal that stocks that attract more attention from the public are exposed to higher market risk. These findings have not been documented in the literature so they enrich the information on the relationship between Internet search intenseness and stock market returns, especially for emerging markets where Internet user numbers are sharply increasing.     

Informed Trading in Stock and Option Markets

We investigate the contribution of option markets to price discovery, using a modification of Hasbrouck's (1995) "information share" approach. Based on five years of stock and options data for 60 firms, we estimate the option market's contribution to price discovery to be about 17% on average. Option market price discovery is related to trading volume and spreads in both markets, and stock volatility. Price discovery across option strike prices is related to leverage, trading volume, and spreads. Our results are consistent with theoretical arguments that informed investors trade in both stock and option markets, suggesting an important informational role for options.     

卖空机制能够约束内部人减持吗？——基于融资融券制度的经验证据

本文以我国放松卖空管制为视角,探究其对内部人减持的影响。研究表明,卖空机制能够抑制企业内部人减持行为。机制分析发现,卖空对内部人减持的抑制作用是通过缓解股权高溢价实现的。进一步研究表明,卖空能够抑制大股东、董事以及管理层减持,但对监事减持无影响;卖空能够降低内部人减持的获利程度,并且在内部人减持动机更大时,对内部人减持的抑制作用更强;卖空通过约束内部人减持提升了股票定价效率,还有助于降低内部人增持行为。本文的研究结论丰富了卖空和内部人减持领域的文献,并对政府部门完善制度设计具有启示意义。     

Board Members and Company Value

This essay surveys research about the value of individual members of boards of directors. When directors join or exit corporate boards, company stock prices respond, often in magnitudes of 1% of firm value or more. Related research shows that when a significant event impacts the stock price of one company, the effects are transmitted to other companies that share board members in common with the primary company. Share price reactions are sensitive to variables such as a director’s occupation, independence, and professional qualifications. Together, this evidence suggests that a well-functioning market for directors might already exist, making direct regulation unnecessary and possibly counter-productive.     

THE INFORMATION CONTENT OF ASX SUSPENSION THREAT ANNOUNCEMENTS

This paper presents an empirical investigation of share price returns for companies threatened with suspension by the Australian Stock Exchange (ASX) for failing to either (1) pay their annual listing fees or (2) lodge a required report on time. The threatened companies experienced an average return over the event window that was significantly below the average return for both a market index and a similarly sized control portfolio. This suggests that the threat of suspension has information content. Interestingly, the major impact came from those companies that avoided suspension by lodging interim reports subsequent to the threat announcement indicating that significant new negative information was conveyed to the market in the week following the threat.     

Multimarket Trading and Liquidity: Theory and Evidence

We develop a new model of multimarket trading to explain the differences in the foreign share of trading volume of internationally cross‐listed stocks. The model predicts that the trading volume of a cross‐listed stock is proportionally higher on the exchange in which the cross‐listed asset returns have greater correlation with returns of other assets traded on that market. We find robust empirical support for this prediction using stock return and volume data on 251 non‐U.S. stocks cross‐listed on major U.S. exchanges.     

Stock Prices and the Secondary Dissemination of Information: The Wall Street Journal's "Insider Trading Spotlight"Column

In this paper we test whether a secondary dissemination of information affects stock prices. We examine stock price reactions to the publication of the “Insider Trading Spotlight”(ITS) column in the Wall Street Journal (WSJ). Since insider trades reported in the ITS column are initially disclosed to the public when insiders’ reports are filed with the Securities and Exchange Commission (SEC), the information contained in the WSJ is a secondary dissemination. Around the WSJ publication day, we find significant abnormal stock performance accompanied by a significant increase in trading volume. Our evidence suggests that a secondary dissemination of information can affect stock prices if the initial public disclosure attracts only limited attention by the market. In addition, we document how insider trading information is conveyed to the market.     

Picking Your Tick: Toward a New Theory of Stock Splits

Thanks to stock splits, the average nominal share price has been amazingly stable in the United States. The average NYSE share price has fluctuated within the $30 to $40 range since the late 1930s—a period in which most consumer prices have increased by a factor of 10 and the S&P index has risen over 1,500%. Why has this nominal price been so stable when every other price has increased so much? And why do typical stock prices vary so greatly among different countries? For example, the median nominal stock price ranges from about $2 in Hong Kong and $7 in the U.K., to $103 in France and over $600 in Switzerland. The author's recent research suggests that typical stock prices vary across countries in ways that reflect primarily differences in how markets in each country set their “tick” rules—the rules governing the minimum price variation that can occur in a stock (in the U.S., for example, the tick was recently reduced from $1/8 to $1/16). Companies, on average, appear to respond to the resulting differences in tick size by adjusting the number of their shares outstanding so that the tick size relative to the nominal share price remains relatively constant. In fact, a tick size equal to about 25 basis points of the median share price “appears to be a universal norm” across global markets. This article explores how and why a company might wish to affect the relative tick size for its stock by splitting—and, in so doing, it suggests a “new theory” of stock splits. The theory also suggests that the optimal tick size for any given company will vary according to its size, visibility, and riskiness.     

The liquidity effects associated with addition of a stock to the S&P 500 index: evidence from bid/ask spreads

This study examines changes in stock liquidity, as measured by the bid/ask spread, when a stock is added to the S&P 500 Index. The paper presents evidence of a significant decrease in the bid/ask spread upon S&P 500 addition, however, this effect is limited to only those stocks that were not trading listed options. Further, the decrease in the bid/ask spread for nonoptioned stocks is accompanied by a significant and permanent increase in share price and trading volume. While optioned stocks experience a permanent increase in trading volume, they experience only a temporary increase in share price. The findings for optioned stocks support the hypothesis that the price and volume effects associated with S&P 500 addition derive from temporary price pressure. Findings pertaining to the nonoptioned stocks indicate that the price and volume effects associated with S&P addition reflect enhanced stock liquidity. The decrease in the bid/ask spread for nonoptioned stocks is attributed to informational efficiencies achieved via index arbitrage trading, and it is argued that this effect is mitigated for optioned stocks due to the pre-existence of arbitrage trading between the option and the underlying stock.     

Options trading volume and stock price response to earnings announcements

We examine the effect of options trading volume on the stock price response to earnings announcements over the period 1996–2007. Contrary to previous studies, we find no significant difference in the immediate stock price response to earnings information announcements in samples split between firms with listed options and firms without listed options. However, within the sample of firms with listed options stratified by options volume, we find that higher options trading volume reduces the immediate stock price response to earnings announcements. This conforms with evidence that stock prices of high options trading volume firms have anticipated and pre-empted some earnings information in the pre-announcement period. We also find that higher abnormal options trading volume around earnings announcements hastens the stock price adjustment to earnings news and reduces post-earnings announcement drift.     

论股权分置改革对上市公司股价的影响——基于沪市试点股改的40家上市公司数据的分析

股权分置对单个样本公司的波动性指标和流动性指标影响因公司而异,总体上在短期内(即股改前后30个交易日)这一影响不是非常显著,在较长的时期内,这一影响较之短期有显著提高;股改对样本公司价格发现和平均超额收益率有着明显的影响,它主要体现在样本总体平均超额收益率上,股改后的样本总体平均超额收益率明显低于股改前。     

The information content of ETF options

We examine the information content of China's Shanghai Stock Exchange (SSE) 50 ETF options introduced in 2015. Trading volume and implied volatilities of calls versus puts differ markedly: trading volume is consistently higher for calls, and implied volatility is higher for puts. Put-call volume and implied volatility ratios are not good predictors of future SSE 50 returns. Implied volatility follows a right-skewed smirk across strike prices, indicating a tendency among option traders to turn bullish and expect the stock market to recover from the June 2015 market crash. The options market dominates the price discovery process, with an average information leadership share of 67%. Our price discovery results persist during the COVID outbreak.     

Empirical Evidence on the Role of Trading Suspensions in Disseminating New Information to the Capital Market

Abstract:  This paper examines the effect of temporarily suspending the trading of exchange-listed individual stocks. We evaluate whether regulatory authorities can successfully use the mechanism of trading suspension in forcing companies to disclose new and material information to the capital market. Previous studies on trading suspensions mainly concentrate on North-American stock markets and find conflicting results. This study utilizes a new data set comprising of firms listed on Euronext Brussels – an important segment of Europe's leading cross-border exchange. Our results show that suspension is indeed an effective means of disseminating new information. Stock prices adjust completely and instantaneously to the new information released during trading suspensions. We also observe a significant increase in trading volume with the reinstatement of trading. On the other hand, we do not find support for the claim that trading suspensions increase the volatility of stock prices. Overall, our results show the efficacy of trading suspensions in disseminating new information.     

An Analysis of ASX Price Queries

This study examines 'no news' responses to stock price queries issued by the Australian Stock Exchange (ASX). We find strong evidence that the pre-query changes in price are driven by informed traders rather than by speculators. First, there is only a partial reversion in prices following a 'no news' response by a company in receipt of a price query. Second, the adverse selection component of market spreads rise during the immediate pre-query period and then decline following the company response. Last, the mean level of institutional shareholder ownership increases in the period immediately prior to an ASX query of a price increase.     

基于财务数据的农业股票投资价值研究

在农业板块股票市场中,采用灰色关联度法找出与股票价格相关联的财务指标,并分别建立了对数线性模型与截面数据回归模型检验了每股净资产对股票价格的基础作用。研究结果表明：股票价格与业绩关联性显著,公司财务因素对于股价有着极强的解释能力,每股净资产是股票价格的价值基础。