从结构和功能上看中国证券市场长期以来都处在一种不正常的状态中。这种 结构和功能上的失衡最根本的制度性原因就是股权分置。这一股权分置现象表现 在：国家股和法人股高度集中并且不可流通，可流通的社会公众股却只占总股本 的很少比重。股权分置给中国资本市场带来了诸多的危害，随着中国股票市场的 发展，股权分置已成为制约股市进一步发展的最大障碍。2005 年 4 月 29 日，中 国证监会宣布启动股权分置改革的试点工作，时至今日整个股改进程已顺利地接 近尾声了，本文正是基于此背景，通过运用定性和定量相结合的方法对股权分置 改革的方案和绩效做出较全面深入的研究。 针对股改的方案，本文选取适当的财务和股权结构方面的指标对上市公司公 布的股改方案的对价进行多元线性回归，考察影响对价的真正因素。结果发现： 第一大非流通股股东所持股比例与对价水平正相关，流通股所占比例、机构持股 占流通股比例和每股收益与对价水平负相关。相对于财务指标来说，上市公司的 股本结构对股改对价水平的影响更大。 针对股改的绩效，本文分别采用事件研究法和会计研究法对股改公司在股改 后的市场表现和财务绩效做了实证分析。结果表明：股权分置改革公司在整个事 件考察期内存在统计意义上显著的超额收益率，说明股权分置改革给投资者带来 了股票的价值增值；高对价股改公司比低对价股改公司给投资者带来了更多的收 益；主板股改公司的股东获得了较大的超额收益，而中小企业板股改公司的股东 基本上没获得什么超额收益；在短期内，股改上市公司并没有获得财务绩效上的 改善。因此，在股权分置改革完成后，上市公司应该着重从国有股减持和管理层 股权激励着手改善公司治理，提升公司价值。 关键词： 股权分置改革 对价 多元线性回归 事件研究 公司治理 iABSTRACT Securities market of China has been in an abnormal state for a long time in the aspects of structure and functions. The basic institutional cause is the split of shares. This was exhibited in: State-owned shares and corporate shares that can’t circulate are highly centralized but the public owned shares that can circulate only account for a few proportions of the total shares. The split of shares do harms to China’s securities market seriously in many aspects, with the development of China's stock market, the split of shares has become the greatest obstacle to the further development of the stock market. The China Securities Regulatory Commission announced the launch of the experimental reform of the equity division in April 29, 2005. To date, the process has run smoothly and drawn to a close. This paper was based on this background, through the combined use of qualitative and quantitative methods, made more comprehensive and in-depth study on the proposal and performance of equity division reform. In view of the equity division reform proposal, this paper used multiple linear regression to research the affection of financial and equity structure index to the consideration of listed companies, in order to find the real factors affecting the consideration. The results manifested: the first non-circulating shareholder’s shareholdings have a positive correlation with the consideration; the proportion of circulating shares and institutions holding shares and EPS have a negative correlation with the consideration. Comparing with the financial index, the equity structure index of listed companies has a greater impact on the consideration. In view of the performance of the equity division reform, Events Study and accounting research methods have been applied to the empirical analysis of the market performance and financial performance of listed companies after the equity division reform. The results showed: the listed companies launched the equity division reform earned the cumulative average abnormal return(CAR) which have statistical significance during the inspection period, this also means that investors have benefited from the equity division reform; Companies with high consideration brought more benefit to investors than companies with low consideration; Main Board companies shareholders acquired more CAR and the SME Board companies iishareholders did not receive any CAR basically; In the short term, The listed companies which completed the equity division reform was not improved in financial performance. Therefore, after the completion of the equity division reform, the listed companies should focus on improving corporate governance to enhance corporate value through reducing state-owned shares and executing management equity incentive plan. KEY WORDS：Equity Division Reform, Consideration, Multiple Linear Regression, Event Study, Corporate Governance iii目 录 第一章 绪论.....................................................- 1 - 1.1 研究背景...................................................................................................... - 1 - 1.2 研究目的...................................................................................................... - 2 - 1.3 研究意义...................................................................................................... - 2 - 1.4 本文结构...................................................................................................... - 3 - 第二章 股权分置及其研究综述.....................................- 4 - 2.1 股权分置的产生与现状............................................................................. - 4 - 2.2 国有股减持与全流通的区别..................................................................... - 5 - 2.3 股权分置的研究综述................................................................................. - 7 - 2.4 股权分置的危害......................................................................................... - 9 - 2.5 股权分置改革的实践尝试....................................................................... - 11 - 第三章 股权分置改革方案及对价影响因素实证分析.................- 14 - 3.1 股权分置改革的政策解析....................................................................... - 14 - 3.2 股权分置改革对价解析........................................................................... - 16 - 3.2.1 股改对价支付的法律依据和经济学解释..................................... - 16 - 3.2.2 股改对价支付方式的现实选择..................................................... - 16 - 3.2.3 股改对价计算理论依据................................................................. - 18 - 3.3 影响股改对价因素的多元回归分析....................................................... - 19 - 3.3.1 影响股改对价因素的研究综述..................................................... - 19 - 3.3.2 影响股改对价的假设因素............................................................. - 20 - 3.3.3 样本的选取与变量的设计............................................................. - 22 - 3.3.4 实证结果以及解释......................................................................... - 23 - 3.4 股改对价影响因素的方差分析............................................................... - 25 - 3.5 实证结论总结........................................................................................... - 28 - 第四章 上市公司股权分置改革绩效研究............................- 30 - 4.1 研究方法和研究样本............................................................................... - 30 - 4.1.1 事件研究法（累计超额平均收益率分析法）............................. - 30 - 4.1.2 会计研究法（财务绩效分析法）................................................. - 33 - 4.1.3 研究样本和数据............................................................................. - 34 - 4.2 实证结果................................................................................................... - 34 - iv4.2.1 股改对大盘走势的影响................................................................. - 34 - 4.2.2 事件研究法的结果......................................................................... - 35 - 4.2.3 会计研究法的结果......................................................................... - 44 - 4.3 实证结果总结..........................................................................................- 45 - 第五章 后股权分置时代的机遇和挑战..............................- 47 - 5.1 股权分置改革带给中国资本市场的变化................................................ - 47 - 5.2 股权分置改革对公司治理的影响............................................................ - 49 - 5.3 后股权分置时代如何推动公司治理的改善............................................ - 52 - 5.3.1 对市场监管部门的政策建议......................................................... - 52 - 5.3.2 对上市公司的措施建议.................................................................. - 53 -