上海证券交易所课题研究报告

1 1999 4 1 (600096) ( ) 2000 11 14 1 7 1997 1998 1999 2000 1

2 2.1 (Share repurchase) ( ) (Treasury stock) ( ) ( ) ( ) ( ) 2

/ 2.2 2.2.1 (Vermaelen,Theo,1981) ( ) (1), (2) (Pure Competition) (3) (4) (5) (6) (7) 2.2.2 PO PT PE NO NE 3

W FP=(NO-NE)/NO 1- FP=NE/NO 1 (1.1) PE*NE=PO*NO-PT(NO-NE)+W (1.1) = + NO (1.1) PE*NE/NO=PO-[PT(NO-NE)/NO]+W/NO (1.2) PE(1-FP)=PO-PT*FP+W/NO (1.2) PO (1.2) 2 (1.3) W/(NO*PO)=FP(PT-PO)/PO+(1-FP)(PE-PO)/PO (1.3) (1.3) = * + * A B H 3 (1981 )1962-1976 143 15% 85% 22% PE PO X (1.4) 15%=15%*22%+85%*X (1.4) 13.76% (1.4.1), 15% 3.3% 11.7% 15%=15%*22%+85%*13.76% 15%=3.3%+11.7% (1.4.1) (1981 ) 1962-1977 131 16% 15% 85% 23% (1.5) 4

16%=15%*23%+85%*X X=14.76% 16%=15%*23%+85%*14.76% (1.5) 14.76% 1 (1.5.1) 16% 3.45% 12.55% 16%=3.45%+12.55% (1.5.1) (1980) (Wakeman1983) (1983) (1984) 22%-23% 13%-15% 3%-4% 11%-13% 2.2.3 (1) (2) (3) (4) (5) (6) 1 1986 20 60 20 70 302 80% (1981) (1981) (1978) 5

13%-15% (1981) 1962 1971 10 32 3 1971 8 1974 6 4% 3 52 17 10 5.3 (1981) 5 (1981) 5.6% 11.6% 13.5% 5.9 19.3% 26.4% 14% 2.2 14% 17.2% 3.7 1986 1980 2 / / / (1958 1963) (1977) 6

(1981) 138 50% 50% 45 17.1% (1980) (1981) 60% (1980) 50% 27% 50% 23% 4 4.8 60% 4.8 2.4 2.4 (1981) 3 (1981) 0.6 9 7

(1981) (1981) 4 (1984) 1962-1977 23% 5 13%15% 6 (1981)41 34 9 38 ( ) 8

2.2.4 1 ( 1985) ( 1988) (1988) ( 10 ) 2 (1983) 41-1.76% 16.4% (1983) 61-2.85%28 1.40% (1983) 9

(1983) 30-4.52% 19-4.04% (1983) (19851986) (1985) (1988) (1985) 6.... 1977 1982 6 6 155 13D 12 (1985) 6 6 (1986) 3 (39 ) (72 ) 28% (1986) 4 (1986) (1988) (1986) ( 1986) 10

(1986) (1986) 3 (1988) 1984-1985 52 40 29 52 ( ) -0.86% 34-0.81% (1988) 5-0.04% (1988). (1983). (1983) 20 80 (1988) 11

(1988) (1987) (1988) 3 3.1 1 2 (1) 1987 10 650 (2) 12

( ) (3) 10 3 4 3.2 1 (1) (2) 13

( 10 20 )(3) (4) 2 (1) (2) 80 (3) (1) (2) (3) 4 14

1 2 71 10 (1) ;(2) ;(3) ;(4) 3 4 1985 5 << >> 25 25 5 A B 15

5.1 A B 1 2000 A 50% 498 1040 47.88% 75% 406 39.04% ( ) 98 2 A B 16

,, 5.2 5.2.1 1. 25% 4 15% 75% 2. 50% 3. 30%--50% 4. 30% 20% 15% 4.6% 10.4% 16% 12% 3.2% 8.8% 15%--20% 10% 17

10% 5.2.2 NT=a*S1/S2, a S1 S2 V + Dt = NT t== 1 (1 + r) r V D r R P0 P1 N1 N2 R=P0/E/N1=P1/E/N2 P1=P0/1-b 1-b P0 P1 5.2.3 18

5.2.4 20% 10%--11% 3.5% 19

5.2.5 5.2.6 1015 5.3 1 2 3 4 5 6 2,, 8 9 20

,. 10 11,,,,,. 5.4 1999 1992 1994 B 1996 1999 5.4.1 1992 ( ) 5.4.2 1999 4 1 2 2000 9 2.83 20000 56818.18 36818.18 56600 2000 8 31 430143509.05 2000 9 10 26800000 110050352.29,,,,,, 21

( ) 10, 37.98 251 68.16 251 9590 ( ) 4206.2753, 9.95, 38052 2000 5 29 ( ) 31 97 1998 8000 4271, 1998 19,,,,,, 5.4.3 : 11394 ( ) 72010.21, 32342.7,44.91 99 11 29 2000 7 26 3.44 7000 1999 12 31 3.40 20132.657 13132.657 34.63% 4.61% 60.76% 2.408 ( ) 2.4 2.4 2000 22

0.23 99 0.069 5.5 1 2 1999 10 1 18 3 6 6.1 1997 3 23

251 283 30,,, 6.2 6.3 99 100000 8025 6816 98 0306 99 0508 2000 093 6 100 6-7 24

,,,,,, 7 7.1 1 2 3 4 25

5 7.2 1 2 3 4 7.3 7.3.1 1933 26

6 10 1998 5 10 1994 1994 4 10 7.3.2 1998 11 7.3.3 41 27

7.4 7.4.1 1. 100 105 110 100000 105 10000000 2. -- 500000 -- 500000 11000000 200000 100 120 100000 12000000 12000000 7.4.2 1. 12000000 12000000 2. 130 28

13000000 12000000 -- 1000000 3. 110 11000000 -- 1000000 12000000 7.4.3 1. A. B. C. -- 2. 110 100000 100 7. B. 10000000 10000000 10000000 500000 500000 11000000 7.4.4 1. 2. 7 29

7.4.5 1 6 com 2., 30

3. (Treasury Stock) Cisco 4. (Exercise Price) 50% Incentive Stock Option ( Stock Appreciation Rights) 50% 1986 15-34% 85% 31

80% 5. A. B. C. 8 1 << >>149 << >>41 << >>24 (1) (2) 26 1999 7 1 << >> 32

( ) 2 << >>24 25 << >>152 1000 1000 25 4 15 << >>8 25 10 4 10 3. << >>25 (1) ;(2) ;(3) 4. << >>184 10 30 3 30 1 90 << >>170 (1) ;(2) ;(3) ;(4) ;(5) ;(6) 5 << >>11 33

50 ( 50%) 30 50 << >>41 30 6. 149 10 47 60 63 ] 1. 2. 34

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of the Causes of Common Stock Price Changes,Journal of Finance,35,1980,pp.305-319. 7MASULIS RONALD W.The Impact of Capital Structure Change on Firm ValueSome EstimatesJournal of Finance,38,March 1983,pp.107-126. 8McCONNELLJOHN J.GARY G.SCHLARBAUMEvidence on the Impact of Exchange Offers on Security Prices: The Case of Income Bonds,Journal of Business,54,1981,pp.65-85. 9MIKKELSON W.H. Convertible Security Calls and Security ReturnsJournal of Financial Economics,9,1981,pp.237-264. 10 MILLER MERTON H. Debt and Taxes,Journal of Finance,32,1977,pp.261-276. 11 MYRON S.SCHOLES Dividends and Taxes Journal of Financial Economics,6 December 1978,pp.333-364. 12MODIGLIANIFRANCOand MERTON H.MILLERThe Cost of Capital, Corporation Finance Review,48,June 1958,pp.261-297. and the Theory of Investment,American Economic 13 Corporate Income Taxes and the Cost of Capital, American Economic Review,June 1963,pp.433-443. 14PEAVYJ.W., and J.A.SCOTTA Closer Look at Stock-for-Debt Swaps Financial Analysts Journal, May/June 1985,pp.44-50. 15 PINEGAR J.MICHAEL and RONALD C.LEASE The Impact of Preferred-for-Common Exchange Finance,41,September 1986,pp.795-814. Offers on Firm Value,Journal of 16VERMAELENTHEOCommon Stock Repurchases and Market Signaling: An Empirical Study, Journal of Financial Economics,9,1981,pp.139-183. 17 Repurchase Tender Offers, Signaling and Managerial Incentives,Journal of Financial and Quantitative Analysis,19,1984,pp.163-181. 18 BHAGAT S. J.A.BRICKLEYCumulative Voting: The Value of Minority Shareholder Voting RightsJournal of Law and Economics,27,October 1984,pp.339-366. 19BHAGATS.R.H.JEFFERISYou Can Fool Some of the People All of the Time The Proxy Voting Process and Anti-greenmail Charter Amendmentsms., University of Utah, May 1988. 20BRADLEYM.Interfirm Tender Offers and the Market for Corporate Control,Journal of Business,53,1980,pp.345-376. 21 and L.WAKEMANThe Wealth Effects of Targeted Share 36

Repurchase Journal of Financial Economics,11,1983,pp.301-328. 22 BRICKLEY J.A. R.C.LEASE and C.W.SMITH JR.Ownership Structure and Voting on Anti-takeover Amendments Journal of Financial Economics,20,1988,pp.267-292. 23DANNL.Y.and H.DEANGELOStandstill Agreements, Privately Negotiated Stock Repurchases, and the Market for Corporate Control Journal of Financial Economics, 11,1983,pp.275-300. 24 Corporate Financial Policy and Corporate Control: A Study of Defensive Adjustments in Asset and Ownership StructureJournal of Financial Economics, 20,1988,pp.87-127. 25DEANGELOH.and E.M.RICEAnti-takeover Charter Amendments and Stockholder 1983,pp.329-359. Wealth Journal of Financial Economics,11,April 26HOLDERNESSC.G.and D.P.SHEEHAN Raiders or Saviors? The Evidence on Six Controversial Investors Journal of Financial Economics,14,1985,pp.555-579. 27 JENSEN M.C.Takeovers: Their Causes and Consequences, Journal of Economic Perspectives,2,Winter 1988,pp.21-48. 28 When Unocal Won Over Mesa, Shareholders and Society Lost,Financier, 9, 1985,pp.50-52. 29 and J.B.WARNER The Distribution of Power Among Corporate Managers, Shareholders and Directors,Journal of Financial Economics,20,1988,pp.3-24. 30 KLEIN A. and J.ROSENFELD The Impact of Targeted Share Repurchases on the Wealth of Non-Participating ShareholdersJournal of Financial Research,11,Summer 1988, pp.89-97. 31KLEINR. Leveraged Cashouts: Recapitalization with a New TwistBusiness Forum, 13,Winter 1988,pp.10-15. 32LINNS.C.and J.J.McCONNELLAn Empirical Investigation of the Impact of Anti-takeover Amendments on Common Stock PricesJournal of Financial Economics, April 1983,pp.361-399. 33POUNDJ.The Effects of Anti-takeover Amendments on Takeover Activity: Some Direct Evidence,Journal of Law and Economics,30,October 1987,pp.353-367. 34 Proxy Contests and the Efficiency of Shareholders Oversight, Journal of Financial Economics,20,1988,pp.237-266. 35SHLEIFERA.and R.W.VISHNYGreenmail, White Knights, and Shareholders Interest, Rand Journal of Economics,17, Autumn 37

1986a,pp.293-309. 36 Large Shareholders and Corporate Control, Journal of Political Economy,94, 1986b,pp.461-488. 37.Nohel,T.and Tarhan,V.Share repurchases and firm performance :New evidence on the agency costs of free cash flow,journal of Financial Economics. 1998 v49.pp187222. 38.Stephens,C.P. and Weisbach,M.S,Actual share reacquisitions in open-market repurchase programs,journal of Finance 1998 v6,pp313333. 39.John P.Evans.Robert T.Evans,James A.Gentey,The decision to repurchase share :A cash flow story 2001,Working papers 40.Scott J.Weisbenner,Corporate share repurchase in the 1990s:What role do stock options play?2001,working papers 41[]J.. []S. [].E. (MERGERS RESTRUCTURING AND CORPORATE CONTROL 1996 ) 1998 2. 42 1999.5.4 43 1999 5 44 1999 6 45 1999 6 46 1999.10.26 47 1999.10.28 48 1999.10.28 49 http://www.p5w.net2000.11.17 2001 1. 50. 1998 11 38