Research On Laws Of Present Situation And Market Characteristics Of Shareholding Phenomenon Of Listed Companies In China

Since the first case of listed company cross-shareholding occurred in China on 1998, phenomenon of listed company holding another listed company is occurring increasingly among listed companies in China. This paper researched on it in two respects: laws of present situation and market characteristics.In the respect of laws of present situation, shareholding listed companies are great in amount, broad in distribution, high in market value of shareholding, and stable in cycle of shareholding. Investment income has some influence on the earning and total asset of listed company. Compared with other listed companies, shareholding listed companies are high in systemic risk, not different in excess return, and low in individual risk.In the respect of market characteristics, this article divided the intrinsic value of a listed company into two parts: main business and shareholding, the latter is difficult to price through PE and PB pricing method. This article used Dividend Discount Model to price the intrinsic value of shareholding part of listed company. Based on this, this paper researched on the dynamic relationship of price of shareholding listed company and the company held by it through time-series model and cross-sectional model.Among the time-series model, the current phase and lag phase return of company held by shareholding listed company have influence on the excess return of shareholding listed company on current day. The influence increases when the ratio of investment income to operating profit or total asset increases, and when the restraint of sell-prohibited stock held by shareholding listed company is removed.Among the cross-sectional model, both the accumulative lag phase return of company held by shareholding listed company and the ratio of the market value of company held by shareholding listed company to the total market value of shareholding listed company have influence on the excess return of shareholding listed company on current day.The time-series model has the timing function, and the cross-sectional model has the stock-selection function. Investors can beat the market and acquire the excess return through the two models.