塑化剂事件与禁酒令对白酒类上市公司投资价值影响研究

发布时间：2018-03-18 11:13

本文选题：事件研究法　切入点：投资价值　出处：《南京财经大学》2014年硕士论文　论文类型：学位论文

【摘要】：2012年11月19日,酒鬼酒塑化剂超标260%被爆出,信息发布后,白酒行业的股票全部随之而下跌!紧接着,2012年12月24日,中央军事委员会发布的《中央军委加强自身作风建设十项规定》中指出,要求在接待工作中不安排豪华宴请、不喝酒、不铺设迎宾地毯、不摆放花草、不组织官兵列队迎送等讲排场的活动。12月24日当天,受“禁酒令”事件影响,白酒类股票大幅下跌,领跌各大行业板块,其中贵州茅台日蒸发流通市值高达125亿元。在这样的背景下,塑化剂事件与禁酒令对白酒行业投资价值影响引起了资本市场的广泛关注,这也是本文研究选题的初衷。本文研究塑化剂事件与禁酒令事件发生以后,对白酒类上市公司投资价值的影响。因此选取白酒类上市公司作为研究样本,即行业代码为C15；运用事件研究法进行研究,通过计算累积非正常收益(CAR值)和购买并持有非正常回报率(BHAR值)这两个替代变量指标来进行分析。首先,本文回顾了塑化剂事件与禁酒令事件市场反应的相关理论以及上市公司投资价值分析的相关理论。根据有效资本市场理论,提出三大研究假设：一是塑化剂事件的累积非正常收益为负；二是禁酒令事件的累积非正常收益为负；三是塑化剂事件与禁酒令事件导致购买并持有非正常回报率下降。然后,本文搜集了白酒类行业相关的股价指标数据,运用事件研究法,通过EXCEL,SPASS等统计工具的处理,结合市场模型和市场调整模型分别计算累积非正常收益(CAR值)并进行T检验,将两者的结果进行比较,研究发现塑化剂事件与禁酒令事件发生后,白酒类上市公司出现了明显的负面市场反应,从而验证了假设1和假设2。接着,本文将塑化剂事件与禁酒令事件结合起来进行长短期分析,通过累积非正常收益(CAR值)配对T检验发现短期内塑化剂事件对白酒类上市公司投资价值的影响相对于禁酒令事件要大一些,且长期内通过计算购买并持有非正常回报率(BHAR值)发现塑化剂事件与禁酒令事件使得购买并持有非正常回报率下降,从而验证了假设3。这说明其投资价值持续降低,对于短期投资者来说,投资建议是抛售手中的股票。最后,本文总结了相关研究结论,结合研究结论,提出白酒行业要实现健康、持续地发展,务必从自身出发,从根源上解决问题。在此基础上,提出白酒行业发展的几点建议。
[Abstract]:In November 19th 2012, the wine wine plasticizer exceeds the standard 260% is burst, after the information release, the liquor industry stock all then falls! Then, on December 24th 2012, the Central military Commission issued the "Ten regulations on strengthening the work style of the Central military Commission", which pointed out that it was required not to arrange luxurious banquets, do not drink alcohol, do not lay welcome carpets, and do not place flowers and plants in the reception work. On December 24th, under the influence of the "prohibition" incident, liquor stocks dropped sharply, leading to a drop in major industries. Among them, market value, a daily evaporative circulation in Moutai, Guizhou Province, is as high as 12.5 billion yuan. Against this background, the impact of plasticizer incidents and prohibition on the investment value of the liquor industry has aroused widespread concern in the capital market. This is also the original intention of this study. This paper studies the influence of plasticizer events and prohibition events on the investment value of listed liquor companies. That is, the industry code is C15; the method of event study is used to carry out the research, and the two alternative variable indicators, namely, calculating the cumulative abnormal income and car value) and buying and holding the abnormal rate of return / BHAR), are used to analyze. This paper reviews the theories related to the market reaction of plasticizer events and prohibition events, as well as the related theories of investment value analysis of listed companies. Three major research hypotheses are put forward: first, the cumulative abnormal income of plasticizer event is negative; second, the cumulative abnormal income of prohibition event is negative; third, plasticizer event and prohibition event cause the purchase and holding abnormal rate of return to decrease. In this paper, the stock price index data related to liquor industry are collected. By means of event study method, by dealing with statistical tools such as excel and SPASS, combined with market model and market adjustment model, the cumulative abnormal income car value is calculated respectively) and T test is carried out. Comparing the two results, the study found that after the plasticizer event and the prohibition incident, the listed liquor companies appeared a significant negative market reaction, which verified hypothesis 1 and hypothesis 2. In this paper, the plasticizer event and the prohibition of alcohol events together for long-term and short-term analysis, It was found that the short-term effect of plasticizer events on the investment value of listed liquor companies was greater than that of prohibition. And over the long term, by calculating the purchase and holding abnormal rate of return (BHAR), we found that plasticizer events and prohibition events led to a decrease in the purchase and holding of abnormal rates of return, thus validating hypothesis 3.This shows that the value of its investment continues to decline. For short-term investors, investment advice is to sell stocks. Finally, this paper summarizes the relevant research conclusions, combined with the research conclusions, proposes that to achieve healthy and sustainable development of the liquor industry, we must start from ourselves. On the basis of this, some suggestions on the development of liquor industry are put forward.
【学位授予单位】：南京财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F426.82;F832.51

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