信息披露的市场反应与市场有效性--从控制权转移的视角  

Market reaction to information announcement and market efficiency——in view of controller transfer

作　　者：王化成[1] 岳宝宏[1,2] 

机构地区：[1]中国人民大学商学院,北京100872 [2]北京信息科技大学经济管理学院,北京100085

出　　处：《东南大学学报（哲学社会科学版）》2009年第3期44-50,共7页Journal of Southeast University(Philosophy and Social Science)

摘　　要：通过事件研究的方法,探析2001-2005年间控制权转移事件发生前后的市场反应及非正常报酬率的变化特征,据此对我国证券市场的有效程度进行界定,实证结果表明:上市公司的控制权转移公告(首次公告)引起了市场的积极反应;市场对于公告存在过度反应,表现为公告日后股价的回调,这说明我国股票市场并未达到半强式有效;深市和沪市两个市场信息泄露和传递的时间不同;两个市场公告效应的数值都很小,公告前信息泄露明显,累积超额收益的70%以上都是内幕交易或模仿内幕交易的跟风操作带来的。Is China’s capital market a semi-strong market now? With the event-study method,we analyzed the market reaction and AR changing characters in controller-transfer events during 2001-2005 to define market efficiency.The results are as follows:the announcement (the first announcement) of controller-transfer in Listed Co.brought positive reaction to capital market; there existed over-reactions as the stock price fell down after announcement day,which proved that markets had yet not reached the semi-strong form; the time of information leakage and transfer was different in Shenzhen market and in Shanghai market; the values of announcement effect in both markets were small as there were obvious leakage before announcement,and more than 70% of CAR came from insider-trading or mimic trading.

关 键 词：控制权转移 半强式有效 平均超额收益 累积超额收益 公告效应 

分 类 号：F832.51[经济管理—金融学] F224