并购重组新闻对股票短期收益影响的实证研究  

An Empirical Study on the Impact of M&A and Restructuring News on Stock Short-term Returns

作　　者：黄宝凤 朱晗 李娜 HUANG Bao-feng;ZHU Han;LI Na

机构地区：[1]南京邮电大学经济学院

出　　处：《经济论坛》2021年第5期96-105,共10页Economic Forum

基　　金：国家社科基金青年项目“‘一带一路’倡议下服务企业OFDI模式选择及生产率效应研究”(18CJY043)。

摘　　要：文章采用2017年3月至2018年3月内所有上市公司的并购重组新闻数据,利用事件研究法,探索了并购重组类新闻对相应上市公司股票短期收益的影响。结果表明,不同类型的并购重组新闻对股票收益的影响存在差异。其中资产收购和资产剥离类新闻会对股票收益产生负向冲击,而股权转让、债务重组及吸收合并类新闻的发布会对股票收益产生显著的正面影响。不仅如此,资产收购、资产剥离和股权转让新闻产生的影响具有较小的波动性,而债务重组、吸收合并类新闻的影响在短期内波动较大,且带有较长的时间滞后性。此外,通过对比短期收益趋势在拓展事件窗中的表现,实证了资产收购、资产剥离、股权转让以及吸收合并类新闻影响下的股价均存在事前可能被信息操纵的现象。Using the M&A and Restructuring news data of all listed companies from March 2017 to March 2018,this paper employs the Event Study Method to explore the impact of M&A and Restructuring news on the short-term returns of the companies’stocks.The results show that different types of M&A and Restructuring news have different effects on stock returns.Among them,asset acquisition and asset stripping news will have a negative impact on stock returns.However,announcements such as equity transfer,debt restructuring and merger by absorp⁃tion will have a remarkably positive impact on stock returns.Furthermore,the impacts of asset acquisition,asset stripping,and equity transfer news have less volatility,while the impacts of debt restructuring and merger by absorp⁃tion news fluctuate greatly in the short term and have a long time lag.Moreover,by comparing the performance of short-term earnings trends under continuation event windows,this paper has demonstrated that stock prices under the influence of news of asset acquisition,asset stripping,equity transfer,and merger by absorption are all subject to prior information manipulation.

关 键 词：并购重组 异常收益率 事件研究法 

分 类 号：F271[经济管理—企业管理] F831.51[经济管理—国民经济]