产业规划发布对信息技术企业资本市场价值短期影响

发布时间：2018-06-24 01:16

本文选题：产业规划发布 + 股价波动　；参考：《哈尔滨工业大学》2013年硕士论文

【摘要】：信息技术产业在国民生活中应用广泛和国民经济中的支柱作用日益明显，市场前景广阔。但信息技术带有明显的新兴产业特征，尚未成熟，大多企业仍处于成长期，资本积累不足，面对市场竞争的快速反应和大量前期投入的要求，企业难以仅依靠自身健康发展，这就对政府提出要求。而政府基于自身职能与产业需求制定并发布了一系列规划文件，以期明确产业定位、合理资源配置。如2009年《国务院关于加快培育和发展战略性新兴产业的决定》、2012年系列“十二五”发展规划。本文主要研究政府发布信息技术相关产业规划文件对产业内上市企业的资本市场价值是否存在短期影响，建立了产业规划文件发布与上市企业股票价格短期波动的理论模型，选取两类宏观层面的规划文件，利用沪深市场信息技术上市企业数据进行实证研究。采用事件研究方法进行模型检验，结果表明，政府发布信息技术相关产业规划文件后，将使投资者迅速调整预期和投资行为，引起短期内的企业股价波动，波动的方向与规划文件的内容和投资者预期有关。在证实事件影响存在的基础上，本文建立股价异常收益调节因素的多元回归模型，以检验企业个体间波动幅度差异的原因。该部分实证结果表明，企业规模对异常收益存在显著正向影响，规模越大的企业在事件发生期间会有更大程度的股价上升或更小程度的股价下降。此外，还选取了财务杠杆中的资产负债率指标和股权结构中的第一大股东持股比例指标作为考察因素，适度的资产负债率是增强投资者信心，，适度的股权集中度是治理结构合理的表现，二者与短期股价异常收益均呈倒U形曲线关系。
[Abstract]:The information technology industry is widely used in the national life and plays an increasingly important role in the national economy. However, information technology has obvious characteristics of emerging industry, it is not mature, most enterprises are still in the growing period, and the capital accumulation is insufficient. In the face of the rapid reaction of market competition and the requirement of a large amount of pre-investment, it is difficult for enterprises to rely on their own healthy development. This demands the government. The government formulates and issues a series of planning documents based on its own functions and industrial needs in order to define the position of industry and allocate resources reasonably. For example, the State Council's decision on speeding up the cultivation and Development of Strategic emerging Industries in 2009, 2012 series "12-5" Development Plan. This paper mainly studies whether there is a short-term impact on the capital market value of the listed enterprises in the industry when the government releases the information technology-related industrial planning documents, and establishes a theoretical model of the short-term fluctuation of the industrial planning documents and the stock prices of the listed enterprises. Two kinds of macro-level planning documents are selected and the data of listed enterprises in Shanghai and Shenzhen market are used to carry out empirical research. The results show that after the government releases the information technology related industry planning documents, it will make investors adjust their expectations and investment behavior quickly, and cause short-term enterprise stock price fluctuations. The direction of the fluctuation is related to the contents of the planning documents and investors' expectations. On the basis of confirming the existence of the influence of events, this paper establishes a multivariate regression model of the regulating factors of abnormal return on stock price to examine the reasons for the fluctuation range difference among enterprises. The empirical results show that there is a significant positive impact of firm size on abnormal returns, and the larger the firm size is, the greater the stock price will be during the event. In addition, the asset-liability ratio index in financial leverage and the largest shareholder shareholding ratio index in equity structure are selected as the test factors, and the moderate asset-liability ratio is to enhance investors' confidence. Moderate concentration of equity is the reasonable performance of governance structure, and both of them are inversely U-shaped curve with abnormal return of short-term stock price.
【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】：2013
【分类号】：F832.51;F275;F276.44

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