事件研究在证券欺诈案中的司法应用

事件研究法 事件研究法是一种财务经验研究方法,是了解股票市场证券价格与特定事件(如公司股利宣告或盈余发布)间关联性的实证分析,其研究的逻辑线索简单明了,即用非正常收益(abnormal return)来判断某事件的发生是否影响了时序性价格数据的产生.若此事件显著,使该公司股价波动状况异于无此事件时的表现,则会产生非正常收益.而事件研究主要的目的在于利用统计方法检验非正常收益状况,借以明确该事件是否对公司股价造成影响.非正常收益是一个很重要的指标,用来度量股价对事件发生或信息披露异常反应的程度.实施事件研究可分成三步:     

市场认同与审计选择——来自中国上市公司的经验证据

本文以上市公司审计报告公告前后累计非正常收益作为市场认同的代理指标,运用最小二乘回归和二元选择回归模型考察上市公司相关审计选择行为与上市公司市场认同之间的相关性。实证结果显示,市场对上市公司审计机构的选择、审计机构数量的确定、审计意见类型和审计资费等行为的认同度不同。非正常审计费用和审计意见类型公告负向影响上市公司的累计非正常收益,审计机构的选择和审计机构的数量正向影响上市公司累计非正常收益处于正值区间的概率,而非正常审计费用则负向影响该概率。     

高管变更对会计盈余影响——基本不同所有制结构上市公司的实证分析

本文研究了2010-2012年中国A股上市公司总经理变更前后,不同所有制结构上市公司的实际会计业绩在总经理变更前后的变化.民营上市公司显著的业绩变化与市场对总经理变更显著的消极反应一致,而国有控股上市公司不明显的业绩下滑也与市场表现出的不显著为负的累计非正常收益相一致;在证券市场拥有负累计非正常收益的公司表现出较正累计非正常收益公司更差的会计业绩.     

“汶川地震”的证券市场板块效应研究

本文采用事件研究法分别研究了汶川地震对我国金融板块和四川板块的影响。本文根据汶川地震的特点确定了估计窗和事件窗,选择市场模型作为正常收益的估计模型,得到了各个板块在事件窗内的累积非正常收益并对其进行了显著性检验。本文研究结果表明:汶川地震对我国金融板块没有显著性影响;汶川地震对我国四川板块的影响是四川板块组合的累积非正常收益由显著为正到显著为负的变化过程。     

上市公司资产重组信息报告、股价变动与股市效率的实证研究

文章收集了2010年上市公司所有的资产重组样本,采用三因子模型和市场模型,通过平均超常收益(AAR)与累积超常收益(CAR)指标研究资产重组公告对重组公司股价产生的短期影响,研究总体样本的市场绩效以及不同重组方式之间绩效的差别,实证分析上市公司资产重组与股票投资收益的关系,探讨我国上市公司资产重组的现实状况以及存在的问题,并提出可行性建议。所得结论,在公告日前后较短时期内资产重组公告对重组公司股票收益有正向影响,而在公告日后稍长时期内对重组公司股票收益有负的影响,市场对于资产重组公告信息反应过度的现象普遍存在,资产重组公告前信息泄露现象普遍存在。     

关联股权交易不同支付方式下的投资者收益研究——来自中国A股市场的经验证据

本文以我国A股市场2006年5月8日至2007年12月31日期间的关联股权交易公司为研究样本,按照支付方式将上市公司划分为非公开发行新股支付公司与现金支付公司,研究了是否存在大股东为了谋求自身更大利益而影响上市公司支付方式选择,从而侵蚀市场上其他投资者利益的现象。研究发现,在关联股权交易董事会决议公告之前的[-20,-2]共19天期间内,非公开发行新股支付方式下的上市公司投资者累积超额收益要远远低于现金支付方式下的相应收益,说明通过影响股价来实现自身利益的最大化成为大股东的现实选择。     

经营利润率、股东收益与股票价格的价值相关性研究

本文以沪、深两市A股上市公司为研究对象,在F-O模型(剩余收益定价模型)的基础上,进一步探讨了分解后的会计信息:经营利润率和股东收益与股价的价值相关性。研究结果表明,上市公司的经营利润率和股东收益对股价有显著的解释能力。本研究的贡献在于进一步拓展了市场定价模型,为证券投资提供具有实用价值的参考。     

股灾后大股东增持行为对股票价格的影响

我国股权分置改革开始后,上市公司大股东"增持"现象日益增多,对二级市场标的股票价格带来了正向影响。本文以沪深300成份股作为样本,通过事件研究法和多元回归方法研究大股东增持行为对市场的影响及影响因素的研究,证明了大股东增持会给市场带来超额收益,并且在增持比例越高情况下,竞争力越小的行业中,超额收益越显著。     

事件模拟与非正常收益模型的检验力——基于中国A股市场的经验检验

本文分别以1990年12月至2003年12月两市所有A股公司为抽样总体,检验了均值调整模型、市场调整模型和市场模型为基础的多种检验方法的检验力。研究发现,无论事件研究中各公司事件是否相近或重叠,都应采用市场模型为基础的非参数秩检验法。而累积非正常收益的检验也应以市场模型为计算基础。若样本公司事件日相近或重叠,统计量的设置要考虑累积非正常收益截面数据的相关性。均值调整模型在本文所定义的各种检验方法中,均无明显优势。经敏感性测试,本文结论不变。     

国有控股上市公司股权激励市场效应的实证分析

本文采集了21家国有控股上市公司实施股权激励首次披露日前后三十个交易日的股票收盘价,并对这些股价进行了统计分析。实证结果显示,国有控股上市公司股票价格在股权激励方案首次披露日之后给投资者带来了超额收益,国有控股上市公司实施股权激励给个股股价带来正面的市场效应,并且能够提高国有控股上市公司的短期融资能力。分析认为,广大证券投资者没有过分担心因国有控股上市公司实施股权激励可能带来的国有资产流失问题,多数投资者持积极认同态度。     

Option prices and stock market momentum: evidence from China

Option prices tend to be correlated to past stock market returns due to market imperfections. We unprecedentedly examine this issue on the SSE 50 ETF option in the Chinese derivatives market. To measure the price pressure in the options market, we construct an implied volatility spread based on pairs of the SSE 50 ETF option with identical expiration dates and strike prices. By regressing the implied volatility spread on past stock returns, we find that past stock returns exert a strong influence on the pricing of index options. Specifically, we find that SSE 50 ETF calls are significantly overvalued relative to SSE 50 ETF puts after stock price increases and the reverse is also true after the stock price decreases. Moreover, we validate the momentum effects in the underlying stock market to be responsible for the price pressure. These findings are both economically and statistically significant and have important implications.     

Psychopathic traits of corporate leadership as predictors of future stock returns

This paper examines whether it is possible to forecast 1‐year‐ahead returns of individual companies based on the observed ‘psychopathic’ characteristics of their top management team. We find that language characteristic of psychopaths present in annual report narratives, questionable integrity, excessive risk‐taking, and failure to contribute to charitable undertakings tend to reduce future shareholder wealth. These findings imply that firms could benefit from incorporating psychological evaluation in their recruitment processes, especially when seeking to fill senior management posts. While the return predictability described in this paper supports the upper echelons perspective, it simultaneously challenges the notion of informationally efficient stock prices.     

A 10-year retrospective on the determinants of Russian stock returns

We study factors influencing returns at the Russian stock market from 1995 to 2004, putting emphasis on how these evolved over time. We find that the relationship is highly unstable and this instability is not confined to financial crises alone. Most computed statistics exhibit constant ups and downs, but there has been recently a sharp rise in explainability of stock returns. Domestic factors have been playing a gradually diminishing role, while the importance of international factors has been increasing. In recent years, the effect of oil prices and foreign exchange rates has diminished, the impact of US stock prices and international and domestic interest rates has increased, while the influence of monetary aggregates such as gold reserves and credit balances has fallen to practically zero.     

Unusual operating cash flows and stock returns

The current financial reporting of cash flows from operations does not present individual sources of these cash flows, making it difficult for investors to assess a firm’s future performance. I hand-collect individual cash flows from unusual operations and examine their characteristics for predicting future cash flows. The results show that the unusual individual cash flow items contain a significant incremental predictive ability for future cash flows. Additional return tests show that stock prices fail to fully reflect their predictive value, suggesting that the current reporting practice may mislead investor perceptions of a firm’s cash generating ability and investors could benefit from a more explicit presentation of cash flows from operations.     

Devaluation-risk-related peso problems in stock returns

The phenomenon of a non-random negative trend in stock prices is usually explained on the macroeconomic level, either by constantly rising risk premia or by a trend in other macroeconomic factors that affect the stock market as a whole. In this paper it is argued that a negative trend in individual stock prices can be caused by a firm-level peso problem related to devaluation expectations. If the devaluation-risk-related peso problem hypothesis is correct, the share prices of companies with a higher foreign exchange rate exposure should react more strongly to the phenomenon than the stock prices of firms with a lower level of exposure. Cross-sectional regression analysis on the individual firm level is used to test for the hypothesis. Empirical findings based on Finnish data from the period 1989 through 1992 strongly support the proposed hypothesis.     

Market manipulation by rumormongers: Evidence from insiders’ stock selling

Using a large sample of data on insiders’ stock selling and rumors about A-share listed companies in China, this study empirically tests whether and how rumors about companies are used to manipulate the market in the context of insiders’ stock selling. We find that the probability of a rumor’s occurrence, especially that of a favorable rumor, significantly increases in the 30 days before the first transaction in a round of insiders’ stock selling and remains high for 30 days afterward, showing clear signs of manipulation. These results are robust to several endogeneity tests. The probability of manipulation via rumor increases with a company’s degree of information asymmetry. In addition, large-scale stock selling, centralized bidding, and transactions involving CEOs or chairmen (or their relatives) have a significantly higher probability of manipulation via rumor, while transactions made by directors, supervisors, or senior executives (but not their relatives) have a significantly lower probability of manipulation via rumor. Further examination shows that using rumor to manipulate the market increases insiders’ transaction returns but leads to stock price reversal in the long term.     

Rumors in the sky: Corporate rumors and stock price synchronicity

Using hand-collected rumor clarification announcements from Chinese listed firms to identify corporate rumors, we find that rumored firms have lower stock price synchronicity (R²) than do firms without rumors. Channel analyses reveal that rumors reduce stock price synchronicity through elevating investor sentiment rather than stimulating informed trading. Additionally, the negative association between corporate rumors and stock price synchronicity is more evident among firms with more individual investors and higher information opacity. Moreover, corporate rumors are associated with higher analyst forecast errors and forecast dispersion. Overall, our evidence suggests that corporate rumors reduce stock price synchronicity by increasing investor irrationality.     

Microstructure and reverse stock splits

In this paper we show that, similar to NYSE/AMEX stocks, NASDAQ stocks exhibit significant ex date returns for reverse stock splits. Although the 10-day cumulative return after the ex date is close to –10%, this does not violate market efficiency, because the average bid-ask spread for the reverse split stock is at least double this return. We also document that these large negative returns are mostly due to a drop in the ask price while bid prices barely change at all. Furthermore, the ex date returns are negatively related to trading volume.These results suggest that there is abnormal selling and a significant buildup of market makers' inventories near the ex date. To reduce the inventory buildup, market makers lower ask prices to induce buying by investors, resulting in the observed negative returns. Lowering bid prices, an alternative strategy for reducing inventories, is not attractive to market makers due to competitive factors and the reduction of commissions associated with a smaller number of transactions. Notably, selling investors have no incentives to sell their stocks early to avoid the observed negative ex date return, since this return is largely an ask price phenomenon and does not represent realized returns to sellers.     

The valuation effects of stock splits and stock dividends

This study presents evidence which indicates that stock prices, on average, react positively to stock dividend and stock split announcements that are uncontaminated by other contemporaneous firm-specific announcements. In addition, it documents significantly positive excess returns on and around the ex-dates of stock dividends and splits. Both announcement and ex-date returns were found to be larger for stock dividends than for stock splits. While the announcement returns cannot be explained by forecasts of imminent increases in cash dividends, the paper offers several signalling based explanations for them. These are consistent with a cross-sectional analysis of the announcement period returns.     

Short-horizon incentives and stock price inflation

Do managerial incentive horizons have capital market consequences? We find that they do when short-sale constraints are more binding. Firms experience significant stock price inflation when their CEOs have short horizon incentives. The short-horizon CEOs sell more shares at inflated prices and generate greater abnormal trading profits. The stock price inflation is partly explained by greater earnings surprises and more positive investor reaction to the surprises. To inflate stock prices, short-horizon firms are more likely to employ income-increasing discretionary accruals. Consistent with theoretical predictions, all these effects are attenuated or statistically insignificant when short-sale constraints are less binding.