ST摘帽如何影响公司价值和股价  

How does canceling ST affect firm value and stock price

作　　者：张耀杰 李杰刚 史本山[2] ZHANG Yao-jie;LI Jie-gang;SHI Ben-shan(School of Economics and Management,Nanjing University of Scienceand Technology,Nanjing,210094,China;School of Economics and Management,Southwest Jiaotong University,Chengdu 610031,China)

机构地区：[1]南京理工大学经济管理学院,江苏南京210094 [2]西南交通大学经济管理学院,四川成都610031

出　　处：《运筹与管理》2020年第4期212-220,共9页Operations Research and Management Science

基　　金：中央高校基本科研业务费专项资金资助(30919013232);国家自然科学基金(71371157,71671145);国家社会科学基金项目(15XZZ011);“服务科学与创新”四川省重点实验室项目(KL1704);西南交通大学博士研究生创新基金项目(D-CX201724)。

摘　　要：以2004~2015年的ST公司为研究样本,利用事件研究法和双重差分模型,研究了ST摘帽对公司价值和股价的影响效应。实证结果表明,摘帽公告可以引起显著为正的累计超额收益率。而且,摘帽的部分信息含量可以被市场提前预期到,并立即反应到股价上。因此,仅从摘帽信息的股价反应速度看,我国的股票市场是半强式有效市场。此外,双重差分的实证结果显示,ST摘帽对公司价值没有显著的影响。但是,具体而言,摘帽事件可以同时显著地提高公司的市值和账面价值。这些结果都基本符合ST制度的政策预期。为了缓解内生性问题,在考虑控制变量的影响和倾向值匹配后,双重差分的实证结果是稳健的。Taking ST(special treatment)companies in the years between 2004 and 2015 as the research sample,this paper explores the effect of canceling ST on firm value and stock price by using the methods of event study and difference-in-differences model.The empirical results show that the announcement of canceling ST could result in a significantly positive abnormal return.Moreover,part of the information content of canceling ST can be expected beforehand by the market and the stock prices would immediately react to the information,which suggests that China’s stock market is a semi-strong-form efficient market.In addition,the empirical results of difference-in-differences model show that canceling ST has little significant effect on firm value.However,in particular,the event of canceling ST can significantly increase firms’market values as well as book values.These results are basically in line with the policy expectations of ST system.In order to alleviate the endogeneity problem,this study further includes control variables into the difference-in-differences model and employs the method of propensity score matching.Consequently,the empirical results are robust.

关 键 词：ST摘帽 公司价值 累计超额收益率 双重差分 倾向值匹配 

分 类 号：F832.1[经济管理—金融学] F832.5