控制权变更信息披露不同公告日的时差效应研究  

Time Effects of Control Rights Transferring Information Disclosure Announcement in China

作　　者：马丽莎[1,2] 

机构地区：[1]成都理工大学商学院,成都610059 [2]西南交通大学经济管理学院,成都610031

出　　处：《软科学》2014年第7期87-90,共4页Soft Science

基　　金：四川省哲学社会科学重点研究基地--四川矿产资源研究中心资助项目(SCKCZY2013--YB004);成都理工大学中青年骨干教师培养计划项目(JXGG201419)

摘　　要：对2008～2010年间98起控制权变更事件的市场反应进行研究，检验首次公告效应和正式实施公告效应是否具有时差效应。研究发现，控制权变更信息在首次公告日和正式公告日均对股价有正向冲击效应；公告日后的累计异常收益在首次公告中为正向，而在正式公告中则显著为负向冲击，并且首次公告和正式公告的累积异常收益会因控制权变更交易是否跨年完成而呈现差异。进一步回归结果表明，首次公告与正式公告的CAR差值与时差显著正相关，但跨年完成交易对时差效应具有一定的抑制作用。This paper studied the market reaction of 98 cases of control rights transferring from 2008 to 2010 in China, investigate the time effect of announcement effect between first announcement and formal announcement. Study found that control rights transferring in the first and formal announcements date have positive announcement effect; the CAR is positive for the first announcement, and in formal announcement is negative, and the CAR of announcement is different whether the control rights transferring are done in the same year. Further regression analysis results show that the relationship between the change of CAR and the time interval is significantly positive, but if the deal is done across the year, the time effect is weakened.

关 键 词：控制权变更 事件研究 时差效应 

分 类 号：F275[经济管理—企业管理]