我国上市公司高送转公告效应的实证研究

为检验上市公司定高送转预案公告发布对其股票价格的影响,本文以2009年至2010年沪深两市推出高送转预案的285家上市公司为样本,选取公告日前10日至公告日后20日为事件窗口,运用事件研究法对高送转公告效应进行实证研究。结果表明：中国股市具有明显的高送转公告效应,上市公司高送转预案公告发布前后股票具有显著的正价格效应,会产生持续的累计异常正收益;然而,由于信息不对称,部分投资者通常会提前获得有关高送转的内幕信息并提前买入,并以此获得可观的超额收益,而普通投资在公告发布后买入只能获得小部分的超额收益并且需要承担更大的风险。

Empirical Study on Announcement Effect of High Stock Dividends and Splits in China's Stock Market

This paper makes an empirical study on announcement effect of high stock dividends and splits in China＇s stock market based on the 285 listed companies from 2009-2010 with a time window of 31 days.Research results show that China＇s stock market has significant announcement effect and the price of stocks increase before and after the announcement day of high stock dividends and splits.Due to information asymmetry,some investors get the information and buy first,therefore gain high returns,while ordinary investors buy on and after the announcement day,therefore gain low returns but take high risk.