本文選題：非礦業(yè)上市公司 + 礦業(yè)投資�。� 參考：《西南交通大學(xué)》2012年碩士論文

【摘要】：礦業(yè)投資相對(duì)于其他類型投資具有更高的風(fēng)險(xiǎn)且收益更不確定。但近年來(lái)我國(guó)證券市場(chǎng)上出現(xiàn)不少與礦產(chǎn)不相關(guān)的企業(yè)進(jìn)行礦業(yè)投資的現(xiàn)象,同時(shí)這類投資行為在證券市場(chǎng)上受到投資者的親睞。因此本文就市場(chǎng)對(duì)非礦業(yè)上市公司的礦業(yè)投資公告的市場(chǎng)反應(yīng)情況以及影響市場(chǎng)反應(yīng)情況的主要因素進(jìn)行了實(shí)證研究。 本文選取深市和滬市在2008年1月1日至2011年12月31日間發(fā)布了有關(guān)礦業(yè)投資公告的33家非礦業(yè)上市公司作為研究樣本,基于資本市場(chǎng)有效的假設(shè)運(yùn)用事件研究法探尋礦業(yè)投資公告是否能引起市場(chǎng)反應(yīng)。研究結(jié)果表明：礦業(yè)投資公告發(fā)布當(dāng)天存在顯著的市場(chǎng)反應(yīng),且反應(yīng)為正。在此基礎(chǔ)上,進(jìn)一步對(duì)礦業(yè)投資的市場(chǎng)反應(yīng)進(jìn)行解釋。將托賓Q值作為礦業(yè)投資機(jī)會(huì)的替代變量,再參考其他類投資公告的市場(chǎng)反應(yīng)的文獻(xiàn),引入了有可能影響礦業(yè)投資公告的市場(chǎng)反應(yīng)的因素進(jìn)行多元線性回歸研究。研究結(jié)果顯示,市場(chǎng)反應(yīng)與公司的投資機(jī)會(huì)存在顯著的負(fù)相關(guān),本文認(rèn)為可能是因?yàn)檫M(jìn)行礦業(yè)投資的上市公司的托賓Q值(投資機(jī)會(huì))偏高,市場(chǎng)對(duì)于過(guò)高的托賓Q值的真實(shí)性持懷疑態(tài)度。除此之外研究結(jié)果還表明,市場(chǎng)反應(yīng)與自由現(xiàn)金流量存在顯著的負(fù)相關(guān),與股利支付率存在顯著的正相關(guān),這兩個(gè)結(jié)論都在一定程度上驗(yàn)證了自由現(xiàn)金流假設(shè)。同時(shí)研究發(fā)現(xiàn)市場(chǎng)反應(yīng)與公司的規(guī)模呈顯著的負(fù)相關(guān)。最后根據(jù)實(shí)證結(jié)果,對(duì)公司、投資者和監(jiān)管部門(mén)三方提出了相應(yīng)的建議。
[Abstract]:Mining investments are riskier and more uncertain than other types of investment. However, in recent years, many enterprises that are not related to mineral resources have invested in mining industry in China's securities market, and this kind of investment behavior is favored by investors in the securities market. Therefore, this paper makes an empirical study on the market reaction of the market to the mining investment announcement of the non-mining listed companies and the main factors affecting the market reaction. From January 1, 2008 to December 31, 2011, 33 non-mining listed companies listed in Shenzhen and Shanghai stock markets were selected as research samples. Based on the efficient hypothesis of capital market, the method of event study is used to find out whether mining investment announcement can cause market reaction. The results show that there is a significant market reaction on the day of mining investment announcement, and the reaction is positive. On this basis, further explain the market reaction of mining investment. Taking Tobin Q value as the substitute variable of mining investment opportunity and referring to the literature of market reaction of other kinds of investment announcement, the factors that may influence the market reaction of mining investment announcement are introduced into the multivariate linear regression study. The results show that there is a significant negative correlation between the market response and the investment opportunity of the company. This paper suggests that it may be due to the high Tobin Q value (investment opportunity) of the listed company investing in mining industry. The market is sceptical about the authenticity of the excessively high Tobin Q value. In addition, the results also show that there is a significant negative correlation between market reaction and free cash flow, and a significant positive correlation between market response and dividend payment rate. To some extent, these two conclusions verify the free cash flow hypothesis. At the same time, the study found that the market reaction and the size of the company were significantly negative correlation. Finally, according to the empirical results, the company, investors and regulatory departments put forward the corresponding recommendations.
【學(xué)位授予單位】：西南交通大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F426.1

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