摘要股票更名行为从1999年起在我国股票市场中渐渐兴起。作为非典型的经济事件，股票更名和其他典型的经济事件一样，会给市场的收益率带来影响。本文主要采用2008年1月至2014年7月间,中国A股市场中上市公司主动进行股票名称变更事件的样本作为研究对象，通过事件研究法，运用超额收益模型计算股票更名窗口期内样本的超额收益，从而研究上市公司股票更名是否会对股票的收益率产生显著影响，同时分析市场对这一行为的反应过程。研究结果证明，在事件窗口期内，股票更名行为会给投资者带来显著的超额收益，并且更名信息会早于公告日流出，市场会做出提前反应。而这一现象在更名公告日后得到市场的反向修正，超额收益变为负值。而从整个事件窗口期来看，股票更名给投资者带来的超额收益是显著的。30070
关键词 股票更名 过度反应 事件研究法 超额收益
毕业论文外文摘要
Title An Empirical Study on the Effect of Stocks Rename of Listed Companies in China
Abstract
The rename of stocks have been sprung up since 1999 in China’s stock market. As an atypical financial event, the rename of stocks can bring excess earnings to the market like other typical financial events. The article used samples which renamed the stocks on their own in A stock market during January of 2008 and July of 2014. We used the event study methodology and the model of excess earnings to figure out the excess earnings of our samples during the event window. In order to confirm that whether the rename of stocks will bring significant effects to the yield rate. We also analyzed the process reaction of the market.
The results suggested that the rename of stocks will bring significant excess earnings to the market during the event window. The information of stocks rename will give out before announcement date and the market will response in advance. The phenomenon of excess earnings will receive opposite correction after announcement date and it turns to negative. The rename of stocks will bring significant excess earnings to the market in the view of whole event window.
Keywords stocks rename overreaction event study methodology excess earnings
目 次
1 绪论1
1.1 问题的提出 1
1.2 研究方法及文章结构 2
2 理论基础与文献回顾 4
2.1 理论基础 4
2.2 文献回顾 5
3 我国上市公司股票更名概况 7
3.1 上市公司股票更名的分类 7
3.2 上市公司股票更名的原因 7
3.3 股票更名行为带来的影响 9
4 实证研究设计 11
4.1 样本选取 11
4.2 样本分布统计 11
4.3 研究假设 14
4.4 超额收益模型14
5 研究结果 16
5.1 窗口期内的超额收益 16
5.2 显著性检验16
6 对于股票更名的相关建议19
6.1 对于投资者的建议19
6.2 对于监督管理的建议19
结论 20
致谢 21
参考文献22
图5-1 事件窗口期内的AAR与CAR 16
表4-1 更名上市公司的年度分布 11
表4-2 发生更名的主要行业分布 12
表 4-3 有实质性变化和无实质性变化的样本分布13
表 4-4 控股股东和主营业务变更在有实质变化的样本中分布情况13
表 5-1 时间窗口期内ARR和CAR的显著性检验17 我国上市公司股票更名效应的实证研究:http://www.youerw.com/kuaiji/lunwen_25595.html