| 股权分置改革中的“实惠效应”与“未来效应” |
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| 引用本文： | 张伟强,王珺,廖理.股权分置改革中的“实惠效应”与“未来效应”[J].中国工业经济,2008(11). |
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| 作者姓名： | 张伟强 王珺 廖理 |
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| 作者单位： | 清华大学经济管理学院; |
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| 基金项目： | 国家社会科学基金项目“股权分置改革对我国资本市场和公司治理的影响研究”(批准号08BJY151) |
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| 摘 要： | 股权分置改革是我国资本市场发展中的一个重要事件,在股权分置改革中投资者能否获得超额收益值得关注。本文将股权分置改革事件划分为两个子事件——股权分置改革宣告和股权分置改革实施.对1264家公司股权分置改革中的超额收益研究表明:①投资者在两个事件中平均都能获得正的超额收益;②在股权分置改革宣告事件中。投资者更注重股权分置改革的实惠——对价的高低;在股权分置改革实施事件中。投资者更注重企业的未来——非流通股未来带来的扩容等:③股权分置改革中存在均值回归现象。如果公司股权分置改革宣告事件中的累计超额收益较高(低)。则股权分置改革实施事件中的累计超额收益会较低(高)。短期内投资者能够从股权分置改革中获利.但股权分置改革并没有从根本上化解全流通带来的市场恐惧.股权分置改革中存在的内幕交易和市场操纵更是降低了市场的公信力。
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| 关 键 词： | 事件研究 股权分置改革 累计超额收益 |
Announcement Effects and Execution Effects in Nontradable Shares Reform |
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| ZHANG Wei-qiang WANG Jun LIAO Li.Announcement Effects and Execution Effects in Nontradable Shares Reform[J].China Industrial Economy,2008(11). |
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| Authors: | ZHANG Wei-qiang WANG Jun LIAO Li |
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| Institution: | ZHANG Wei-qiang WANG Jun LIAO Li(School of Economics , Management of Tsinghua University,Beijing 100084,China) |
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| Abstract: | Whether there is positive CAR in Chinese Nontradable Shares Reform is an important question in Chinese stock market.We divide Nontradable Shares Reform event to two different events.One is the announcement event,and the other is the execution event.This paper examines the cumulative abnormal return of 1264 companies which had completed Nontradable Shares Reform.Firstly,we find that there is positive CAR in both events.Secondly,the main factors which affect the CAR are different to two events.The main factor... |
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| Keywords: | event study Chinese Nontradable Shares Reform cumulative abnormal return |
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