我国上市公司CEO更换的短期股价效应研究

发布时间：2018-04-04 16:10

本文选题：CEO更换　切入点：股价效应　出处：《哈尔滨工业大学》2014年硕士论文

【摘要】：CEO更换在国际上日益频繁，我国上市公司的CEO更换频率更是远高于世界平均水平。CEO更换在长期会对公司经营业绩产生重大的影响，而市场上的投资者对该事件的看法则会影响公司当前的股价。我国现有文献关于CEO更换对股票价格影响的研究并不多见，本文研究我国CEO更换事件对股票价格的短期影响，对丰富现有文献和提供投资决策参考有现实意义。本文通过改进现有研究的统计检验方法，对事件期内不同窗口进行统计检验和根据CEO更换前公司的背景情况进行分组，在现有文献上更深入地研究CEO更换在短期对公司股票价格产生的影响。本文以2006年1月1日到2013年12月31日我国沪深A股市场上市公司的CEO更换事件为样本，使用事件研究法研究CEO更换事件在短期是否对股票价格产生异常收益。通过检验事件期异常收益的方差，确定合适的统计检验方法；将事件期划分为前窗、发生窗和后窗，研究我国股票市场上CEO更换事件是否存在事前信息泄露问题和市场对该事件的反应效率；使用分组检验研究在不同公司背景下CEO更换对股票价格的异常收益的影响；使用多元横截面回归研究影响异常收益的因素。本文通过实证研究发现我国股票市场上，上市公司更换CEO会增加股票事件期异常收益的方差，因此应该使用标准化横截面法计算t值进行统计检验；通过检验事件期前窗发现我国股票市场CEO更换事件存在信息泄露问题，通过检验事件期后窗发现该事件的市场反应效率良好。通过分组检验发现当公司的股价表现优于总体市场时，CEO更换不会产生显著的异常收益，不如总体市场时，CEO更换会产生显著的正异常收益；CEO更换上年度无分红的公司产生的正异常收益大于有分红的公司；当公司信息不对称程度较低时，，CEO更换产生显著的正异常收益，但是信息不对称程度较高时，股票异常收益呈现剧烈的波动且异常收益不显著；经营业绩衰退的公司在CEO更换时产生的正异常收益大于经营业绩上涨的公司。通过多元横截面回归模型，发现有内幕消息的投资者会关注新CEO的学历，并且新CEO为本科学历时产生的正异常收益最大；同时发现年龄、性别和公司规模对于异常收益的影响不显著，但是其符号具有一致性。
[Abstract]:CEO replacement is becoming more and more frequent in the world, and the frequency of CEO replacement of listed companies in China is much higher than the world average. In the long run, it will have a significant impact on the company's business performance.Investors in the market view the incident will affect the company's current stock price.There are few studies on the influence of CEO replacement on stock price in our country. This paper studies the short-term effect of CEO replacement event on stock price, which is of practical significance to enrich the existing literature and provide reference for investment decision.In this paper, by improving the statistical test method of the existing research, the different windows during the event period are statistically tested and grouped according to the background of the company before the CEO replacement.The effect of CEO replacement on the stock price in the short term is studied in the existing literature.From January 1, 2006 to December 31, 2013, the CEO exchange events of listed companies in China's Shanghai and Shenzhen A-share markets are taken as samples, and the method of event study is used to study whether the CEO exchange events have abnormal returns on stock prices in the short term.By testing the variance of abnormal income in the event period, the appropriate statistical test method is determined, and the event period is divided into the front window, the occurrence window and the rear window.This paper studies whether there exists the problem of information leakage in advance and the efficiency of market response to the CEO exchange event in China's stock market, and studies the effect of CEO exchange on the abnormal return of stock price under different company background by using grouping test.Multivariate cross section regression was used to study the factors affecting abnormal returns.In this paper, we find that the CEO replacement of listed companies in our stock market will increase the variance of abnormal returns in the event period, so we should use the standardized cross-section method to calculate t value for statistical test.By examining the pre-event window, we find that there is a problem of information leakage in the CEO replacement event in China's stock market, and through the post-event window, we find that the market response efficiency of the event is good.Through grouping test, we found that when the company's stock price performance is better than the overall market, CEO turnover will not produce significant abnormal returns.Compared with the overall market, CEO turnover will produce significant positive abnormal returns. The positive abnormal returns generated by CEO replacement without dividends in the previous year are higher than those with dividends; when the degree of corporate information asymmetry is low, CEO turnover produces significant positive abnormal returns.However, when the degree of information asymmetry is high, the abnormal returns of stocks fluctuate sharply and the abnormal returns are not significant; the positive abnormal returns of the companies with declining operating performance are larger than those of the companies with higher operating performance.Through the multiple cross section regression model, we find that investors with insider information will pay attention to the new CEO degree, and the positive abnormal return will be the largest when the new CEO is a undergraduate degree. At the same time, we find that the age,Gender and firm size have no significant effect on abnormal earnings, but their symbols are consistent.
【学位授予单位】：哈尔滨工业大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F272.91;F275

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