本文關(guān)鍵詞： 高送轉(zhuǎn) 超額收益 投資　出處：《上海交通大學》2012年碩士論文　論文類型：學位論文

【摘要】：本文首先分析了A股市場高送轉(zhuǎn)行為的歷史情況，根據(jù)2001-2010年十年間中報、年報全體高送轉(zhuǎn)樣本對高送轉(zhuǎn)股票的收益情況作了初步統(tǒng)計，證明高送轉(zhuǎn)行為可以為投資者帶來收益。 其次，本文闡述了高送轉(zhuǎn)行為對于上市公司的意義，如合理避稅、資本市場“信號傳遞”、改善流動性、市值管理等。 本文力求在理論的基礎(chǔ)上與投資實戰(zhàn)相結(jié)合，在通過統(tǒng)計手段證明了機構(gòu)持股比例、上市時間長短、公司總股本規(guī)模與高送轉(zhuǎn)概率之間的關(guān)系、高送轉(zhuǎn)股票出現(xiàn)超額收益的大致時點以及高送轉(zhuǎn)預(yù)案公告日前超額收益顯著高于公告后等結(jié)論后，設(shè)計了高送轉(zhuǎn)篩選模型，模型的目標首先是提高高送轉(zhuǎn)股票篩選命中率、其次是篩選個股能夠在既定期間內(nèi)獲取超額收益，經(jīng)過2011年報實際檢驗后證明模型篩選高送轉(zhuǎn)個股命中率比較令人滿意，也能夠取得一定的超額收益。 通過研究，，旨在發(fā)掘高送轉(zhuǎn)股票的一些共性特征，并基于這些發(fā)現(xiàn)對投資實戰(zhàn)起到幫助。
[Abstract]:This paper first analyzes the historical situation of the high turnover behavior in the A share market. According to the annual report of the decade 2001-2010, all the annual reports have made preliminary statistics on the returns of the high transmission stocks, which proves that the high transmission can bring benefits to the investors. Secondly, this paper expounds the significance of high transfer behavior to listed companies, such as reasonable tax avoidance, capital market "signal transmission", improving liquidity, market value management, and so on. This paper tries to combine the theory with the actual investment, and proves the relationship between the proportion of institutional shareholding, the time of listing, the size of the total share capital and the probability of high transmission by statistical means. After some conclusions, such as the approximate time point of excess return of high transmission transfer stock and the conclusion that the excess return was significantly higher before the announcement date of the high transmission transfer plan than after the announcement, the model of high transmission transfer selection was designed. The goal of the model is to improve the hit ratio of high transmission to stock screening first. The second is that the selected stocks can obtain excess returns within a given period. After the actual test of the 2011 annual report, it is proved that the hit ratio of the model selection of high-sent stocks is satisfactory, and it can also obtain a certain excess return. The purpose of this study is to find out some common features of high turnover stock, and based on these findings, to help the investment practice.
【學位授予單位】：上海交通大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.51

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