本文關(guān)鍵詞： 并購(gòu)傳聞 澄清公告 澄清措辭 澄清效果 ST　出處：《南京大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：本文立足于行為金融學(xué),結(jié)合傳聞心理學(xué)相關(guān)理論,以中國(guó)A股市場(chǎng)上市公司為樣本,來(lái)考察正面并購(gòu)傳聞及其澄清公告對(duì)于股票市場(chǎng)的影響,并研究了澄清公告措辭強(qiáng)弱程度對(duì)于澄清效果的影響,以及企業(yè)的ST狀態(tài)對(duì)于上述影響的調(diào)節(jié)作用。 本文首先采用事件研究方法來(lái)檢驗(yàn)正面并購(gòu)傳聞對(duì)所有樣本上市公司(包括ST企業(yè)和非ST企業(yè))股票價(jià)格的影響,然后采用事件研究方法來(lái)檢驗(yàn)所有樣本公司針對(duì)傳聞發(fā)布澄清公告后股價(jià)的變化情況,以此來(lái)觀察澄清公告對(duì)于平復(fù)股價(jià)的效果；在借助事件研究獲得初步結(jié)論的基礎(chǔ)上,本文進(jìn)一步采用方差分析和回歸分析來(lái)檢驗(yàn)澄清公告措辭強(qiáng)弱與澄清效果的關(guān)系,以及企業(yè)ST狀態(tài)(即,是否ST企業(yè))對(duì)于上述關(guān)系的調(diào)節(jié)作用。 本文開(kāi)展的實(shí)證研究很好地支持了本文的假設(shè)。依據(jù)實(shí)證分析結(jié)果,本文總結(jié)得出以下幾點(diǎn)重要結(jié)論：第一,正面并購(gòu)傳聞會(huì)使股票價(jià)格產(chǎn)生正向的超額收益,并且傳聞的這種正向市場(chǎng)反應(yīng)在傳聞?wù)桨l(fā)布前就已經(jīng)發(fā)生；第二,對(duì)于正面并購(gòu)傳聞的否認(rèn)澄清會(huì)將使股票呈現(xiàn)負(fù)的超常收益,但是股票市場(chǎng)對(duì)于澄清公告的反應(yīng)不足,澄清公告無(wú)法使股價(jià)平復(fù)到傳聞前水平；第三,澄清公告的澄清措辭強(qiáng)度與澄清公告對(duì)股價(jià)的平復(fù)效果之間存在正向關(guān)系,即澄清措辭越強(qiáng),澄清公告的效果越好；第四,ST狀態(tài)對(duì)于正面并購(gòu)傳聞的澄清措辭-澄清效果關(guān)系具有負(fù)向調(diào)節(jié)作用,即對(duì)于ST企業(yè),措辭越強(qiáng),澄清效果越差,對(duì)于非ST企業(yè),措辭越強(qiáng),澄清效果越好。
[Abstract]:This paper based on behavioral finance, combined with hearsay psychology related theory, taking A share market listed companies as the sample, to investigate the positive M & A hearsay and its clarification notice on the stock market impact. The influence of the strong or weak degree of clarification announcement on the clarification effect and the adjustment of the St state of the enterprise to the above effects are also studied. This paper first uses the event study method to test the impact of positive M & A hearsay on the stock prices of all sample listed companies (including St enterprises and non-St companies). Then, the method of event research is used to test the stock price changes after all sample companies issue clarification announcement in response to hearsay, so as to observe the effect of clarification announcement on smoothing stock price. On the basis of the preliminary conclusions of the event study, this paper further uses variance analysis and regression analysis to test the relationship between the wording of clarification announcement and the clarification effect, as well as the enterprise St state (that is, St state). Whether St enterprise) to the above relation adjustment function. The empirical research carried out in this paper supports the hypothesis of this paper very well. According to the results of empirical analysis, this paper summarizes the following important conclusions: first. The positive M & A hearsay will make the stock price produce positive excess return, and the hearsay positive market reaction has already taken place before the hearsay is officially released. Second, the clarification of positive M & A rumors will make the stock show negative abnormal returns, but the stock market has not responded enough to the clarification announcement, and the clarification announcement can not make the stock price return to the pre-hearsay level; Thirdly, there is a positive relationship between the intensity of clarification wording and the effect of clarification notice on stock price, that is, the stronger the clarification wording, the better the effect of clarification announcement; The clarification word-clarification effect of positive M & A hearsay in 4th St state has a negative effect, that is, for St enterprises, the stronger the wording, the worse the clarification effect is, and the stronger the wording is for non-St enterprises. The better the clarification.
【學(xué)位授予單位】：南京大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51

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