并购传闻及其澄清公告的股市反应：ST状态在澄清措辞与澄清效果关系中的调节作用

发布时间：2018-01-22 07:19

本文关键词： 并购传闻澄清公告澄清措辞澄清效果 ST　出处：《南京大学》2012年硕士论文　论文类型：学位论文

【摘要】：本文立足于行为金融学,结合传闻心理学相关理论,以中国A股市场上市公司为样本,来考察正面并购传闻及其澄清公告对于股票市场的影响,并研究了澄清公告措辞强弱程度对于澄清效果的影响,以及企业的ST状态对于上述影响的调节作用。本文首先采用事件研究方法来检验正面并购传闻对所有样本上市公司(包括ST企业和非ST企业)股票价格的影响,然后采用事件研究方法来检验所有样本公司针对传闻发布澄清公告后股价的变化情况,以此来观察澄清公告对于平复股价的效果；在借助事件研究获得初步结论的基础上,本文进一步采用方差分析和回归分析来检验澄清公告措辞强弱与澄清效果的关系,以及企业ST状态(即,是否ST企业)对于上述关系的调节作用。本文开展的实证研究很好地支持了本文的假设。依据实证分析结果,本文总结得出以下几点重要结论：第一,正面并购传闻会使股票价格产生正向的超额收益,并且传闻的这种正向市场反应在传闻正式发布前就已经发生；第二,对于正面并购传闻的否认澄清会将使股票呈现负的超常收益,但是股票市场对于澄清公告的反应不足,澄清公告无法使股价平复到传闻前水平；第三,澄清公告的澄清措辞强度与澄清公告对股价的平复效果之间存在正向关系,即澄清措辞越强,澄清公告的效果越好；第四,ST状态对于正面并购传闻的澄清措辞-澄清效果关系具有负向调节作用,即对于ST企业,措辞越强,澄清效果越差,对于非ST企业,措辞越强,澄清效果越好。
[Abstract]:This paper based on behavioral finance, combined with hearsay psychology related theory, taking A share market listed companies as the sample, to investigate the positive M & A hearsay and its clarification notice on the stock market impact. The influence of the strong or weak degree of clarification announcement on the clarification effect and the adjustment of the St state of the enterprise to the above effects are also studied. This paper first uses the event study method to test the impact of positive M & A hearsay on the stock prices of all sample listed companies (including St enterprises and non-St companies). Then, the method of event research is used to test the stock price changes after all sample companies issue clarification announcement in response to hearsay, so as to observe the effect of clarification announcement on smoothing stock price. On the basis of the preliminary conclusions of the event study, this paper further uses variance analysis and regression analysis to test the relationship between the wording of clarification announcement and the clarification effect, as well as the enterprise St state (that is, St state). Whether St enterprise) to the above relation adjustment function. The empirical research carried out in this paper supports the hypothesis of this paper very well. According to the results of empirical analysis, this paper summarizes the following important conclusions: first. The positive M & A hearsay will make the stock price produce positive excess return, and the hearsay positive market reaction has already taken place before the hearsay is officially released. Second, the clarification of positive M & A rumors will make the stock show negative abnormal returns, but the stock market has not responded enough to the clarification announcement, and the clarification announcement can not make the stock price return to the pre-hearsay level; Thirdly, there is a positive relationship between the intensity of clarification wording and the effect of clarification notice on stock price, that is, the stronger the clarification wording, the better the effect of clarification announcement; The clarification word-clarification effect of positive M & A hearsay in 4th St state has a negative effect, that is, for St enterprises, the stronger the wording, the worse the clarification effect is, and the stronger the wording is for non-St enterprises. The better the clarification.
【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51

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