摘要
上市公司公开市场股份回购行为对股票市场微观运行的影响效应及其作用机制具有重要研究意义。本文从股票流动性的视角出发,使用手工收集的数据,实证检验了公开市场股份回购对股票市场流动性的影响。通过事件研究和回归分析发现,我国上市公司在二级市场实施回购降低了股票流动性。机制检验表明,股票回购提高了逆向选择成本,导致买卖价差扩大,股票流动性下降。进一步研究发现,上市公司的信息披露质量是重要的调节变量,提高上市公司信息披露质量能有效减弱股份回购对股票流动性的负向影响。本文结论有助于理解上市公司公开市场股份回购的微观影响机制,亦对监管部门制定股份回购监管政策具有启发作用。
It is of great significance to study the effect and mechanism of the open market share repurchase of listed companies on the micro operation of the stock market.From the perspective of stock liquidity,this paper empirically tests the impact of open market share repurchases on stock market liquidity using data collected manually.Through event study and regression analysis,it is found that China’s listed companies’repurchase in the secondary market reduced the stock liquidity.The mechanism test shows that the stock repurchase increases the cost of adverse selection,leading to the expansion of the bid-ask spread and the decline of stock liquidity.Further research finds that the quality of information disclosure of listed companies is an important moderating variable.Improving the quality of information disclosure of listed companies can effectively reduce the negative impact of share repurchase on stock liquidity.The conclusion of this paper is helpful to understand the micro-effective mechanism of share repurchase in the open market of listed companies,and also enlightens the regulatory authorities in formulating the regulatory policy of share repurchase.
出处
《证券市场导报》
CSSCI
北大核心
2023年第2期51-61,共11页
Securities Market Herald
基金
上海财经大学研究生创新基金项目“股份回购是‘对症下药’还是‘饮鸩止渴’?”(项目编号:CXJJ-2020-351)。
关键词
股份回购
股票流动性
逆向选择
信息披露
share repurchase
stock liquidity
adverse selection
information disclosure
