非矿业上市公司的涉矿效应研究

发布时间：2018-05-08 03:24

本文选题：非矿业上市公司 + 矿业投资　；参考：《西南交通大学》2012年硕士论文

【摘要】：矿业投资相对于其他类型投资具有更高的风险且收益更不确定。但近年来我国证券市场上出现不少与矿产不相关的企业进行矿业投资的现象,同时这类投资行为在证券市场上受到投资者的亲睐。因此本文就市场对非矿业上市公司的矿业投资公告的市场反应情况以及影响市场反应情况的主要因素进行了实证研究。本文选取深市和沪市在2008年1月1日至2011年12月31日间发布了有关矿业投资公告的33家非矿业上市公司作为研究样本,基于资本市场有效的假设运用事件研究法探寻矿业投资公告是否能引起市场反应。研究结果表明：矿业投资公告发布当天存在显著的市场反应,且反应为正。在此基础上,进一步对矿业投资的市场反应进行解释。将托宾Q值作为矿业投资机会的替代变量,再参考其他类投资公告的市场反应的文献,引入了有可能影响矿业投资公告的市场反应的因素进行多元线性回归研究。研究结果显示,市场反应与公司的投资机会存在显著的负相关,本文认为可能是因为进行矿业投资的上市公司的托宾Q值(投资机会)偏高,市场对于过高的托宾Q值的真实性持怀疑态度。除此之外研究结果还表明,市场反应与自由现金流量存在显著的负相关,与股利支付率存在显著的正相关,这两个结论都在一定程度上验证了自由现金流假设。同时研究发现市场反应与公司的规模呈显著的负相关。最后根据实证结果,对公司、投资者和监管部门三方提出了相应的建议。
[Abstract]:Mining investments are riskier and more uncertain than other types of investment. However, in recent years, many enterprises that are not related to mineral resources have invested in mining industry in China's securities market, and this kind of investment behavior is favored by investors in the securities market. Therefore, this paper makes an empirical study on the market reaction of the market to the mining investment announcement of the non-mining listed companies and the main factors affecting the market reaction. From January 1, 2008 to December 31, 2011, 33 non-mining listed companies listed in Shenzhen and Shanghai stock markets were selected as research samples. Based on the efficient hypothesis of capital market, the method of event study is used to find out whether mining investment announcement can cause market reaction. The results show that there is a significant market reaction on the day of mining investment announcement, and the reaction is positive. On this basis, further explain the market reaction of mining investment. Taking Tobin Q value as the substitute variable of mining investment opportunity and referring to the literature of market reaction of other kinds of investment announcement, the factors that may influence the market reaction of mining investment announcement are introduced into the multivariate linear regression study. The results show that there is a significant negative correlation between the market response and the investment opportunity of the company. This paper suggests that it may be due to the high Tobin Q value (investment opportunity) of the listed company investing in mining industry. The market is sceptical about the authenticity of the excessively high Tobin Q value. In addition, the results also show that there is a significant negative correlation between market reaction and free cash flow, and a significant positive correlation between market response and dividend payment rate. To some extent, these two conclusions verify the free cash flow hypothesis. At the same time, the study found that the market reaction and the size of the company were significantly negative correlation. Finally, according to the empirical results, the company, investors and regulatory departments put forward the corresponding recommendations.
【学位授予单位】：西南交通大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F426.1

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