控制权转移的微观市场反应--基于丹东化纤(000498)的实证分析  

The Micro Market-reaction of the Control Transfer:a Case Study Based on Dandong Chemical Fibre

作　　者：王化成[1] 孙健[1] 卢闯[2] 

机构地区：[1]中国人民大学商学院 [2]中央财经大学会计学院

出　　处：《管理世界》2008年第8期138-144,共7页Journal of Management World

基　　金：国家自然科学基金项目“中国上市公司控制权转移的利益流动研究”(70572096)的阶段性研究成果;教育部优秀青年教师奖励计划;财政部中国会计学会重点研究课题;中国人民大学“985”工程项目的资助

摘　　要：本文以丹东化纤(000498)为样本,研究控制权转移中的微观市场反应,以此来分析信息提前泄露对投资者行为的影响。本文选择控制权转移首次宣告日前120天至宣告日后10天为研究区间,利用高频分笔数据,得出了以下结论:(1)我国市场控制权转移事件中存在信息的提前泄露;(2)知情交易者利用信息获取超额收益;(3)知情交易者的交易降低了市场的信息不对称程度,促进了市场的价格发现功能。Using as a specimen Dandong Chemical Fibre (000498), we will, in this paper, study the micro market-reaction in the process of control transfer, thereby analyzing the impact of information leakage before the announcement day on investors'behavior. Taking the period from 120 days before the first announcement day to the 10th day after the announcement day as the period that we will study in which information leaked out before the announcement day, we will, in this paper, draw the following conclusion:(1)in the control transfer the information is leaking before the announcement day; (2)the informed traders use information to gain an excess income;(3)the liquidity traders have realized the existence of the informed traders protect themselves by broadening the spread and reducing the trade volume. This paper has provided new evidence for the study on the behavior of China's investors, especially on the impact of information on investors’ behavior.

关 键 词：控制权转移 市场微观结构 知情交易者 流动性交易者 

分 类 号：F832.51[经济管理—金融学] F426.72F224