我国证券市场举牌效应的实证研究

发布时间：2018-01-24 06:54

本文关键词： 举牌财富效应事件研究法　出处：《对外经济贸易大学》2017年硕士论文　论文类型：学位论文

【摘要】：2015年以来,中国证券市场举牌事件频发,被举牌公司股价短期暴涨的现象引发了众多投资者的关注。本文在回顾国内外对举牌事件财富效应研究的相关文献的同时,运用事件研究法(Event Study)对2015-2016年我国证券市场集中发生的举牌事件展开实证研究。在中小投资者不具备信息优势的前提下,同时考虑我国散户股民持股周期短的特点,选取举牌公告日后[0,30]日作为事件窗口,测算事件窗口期内被举牌上市公司股票的平均累计超额收益率(Average Cumulative Abnormal Returns,ACAR)。实证结果表明,我国证券市场存在较为显著的举牌财富效应,在此基础上,对被举牌样本总体按照市值、市盈率、市净率等指标进行了分类研究,比较不同组别的超额收益率后发现,市值较低的小盘股、市净率较低的股票超额收益更为显著,低市盈率股票未发现明显优势。
[Abstract]:Since 2015, China's securities market has held up a lot of events. The phenomenon of short term rise in the share price of the listed company has attracted the attention of many investors. This paper reviews the domestic and foreign research on the wealth effect of the card raising event at the same time. Event study). This paper makes an empirical study on the stock market in 2015-2016. Under the premise that the small and medium investors do not have the advantage of information. At the same time, considering the characteristics of the short stock holding period of retail investors in our country, we choose the day after the announcement of the lifting of the board. [30 days as an event window. Calculate the average Cumulative Abnormal Returns of listed companies listed in the event window. The empirical results show that there is a significant wealth effect in China's securities market. On this basis, the listed samples are classified according to market value, price-to-earnings ratio, price-to-book ratio and so on. After comparing the excess yield of different groups, it was found that the low price-to-book ratio of market value was more significant than that of the lower price-to-book ratio, while the low price-earnings ratio had no obvious advantage.
【学位授予单位】：对外经济贸易大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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