本文選題：并購傳聞 + 澄清措辭　； 參考：《南京大學》2012年碩士論文

【摘要】：并購傳聞是一種重要的金融市場傳聞,能夠對股價造成一定的影響。本文選取217則1999年-2010年我國A股市場關于并購傳聞的澄清公告作為樣本,分析并購傳聞對股價造成的影響以及對澄清公告的有效性進行研究。 本文的研究主要集中在三個方面： 首先,并購傳聞對股價的影響,并購傳聞作為一種利好消息,使得股價具有正的異常收益,大多數對并購傳聞的研究也證明了這個觀點。在中國金融市場中,并購傳聞能否具有同樣的效果,本文對此進行驗證。結果表明,在并購傳聞發(fā)生日、發(fā)生日前和發(fā)生日后,股價均具有顯著的正異常收益。隨后對并購傳聞樣本進行分類研究,同樣得到了類似的結論。 其次,并購傳聞發(fā)生之后,上市公司會針對該并購傳聞發(fā)布澄清公告,澄清公告既有對傳聞進行肯定,也有對傳聞進行否認。本文將澄清措辭為否認的澄清公告作為樣本研究其澄清效果。根據程度的不同,可以進一步的分為強否認和弱否認。強弱否認產生的澄清效果是否相同是本文的研究重點之一。研究表明,澄清公告能夠促使股價的恢復,但仍然存在“澄清公告澄而不清"的現象,強否認的澄清效果要優(yōu)于弱否認的澄清效果。 最后,將來源誠實性作為調節(jié)變量,研究其對澄清措辭和澄清公告有效性之間的調節(jié)作用。來源誠實性用企業(yè)的違規(guī)次數來表示,違規(guī)次數多說明企業(yè)的來源誠實性低,違規(guī)次數少,說明企業(yè)的來源誠實性高。結果表明,來源誠實性對澄清措辭和澄清公告有效性之間的關系具有調節(jié)作用,來源誠實性越高,澄清效果越好。在來源誠實性高和強否認的情況下澄清效果最好；在來源誠實性低和弱否認的情況下,澄清效果最差。 本文的研究結論對上市公司如何治理并購傳聞和投資者面對并購傳聞時如何做出有效的決策具有一定的指導意義。
[Abstract]:The rumor of M & A is an important financial market rumor which can have a certain impact on the stock price. In this paper, we choose 217 1999 -2010 years' clarification bulletin on the rumor of M & A in China's A stock market as a sample, and analyze the impact of the rumor on the stock price and the effectiveness of the Clarification Announcement.
The research of this paper is mainly focused on three aspects:
First, the impact of the rumor on the stock price, the rumor of merger and acquisition as a good news, making the stock price have a positive abnormal return. Most of the study on the rumor of M & A also proved this view. In the Chinese financial market, whether the rumor of merger and acquisition can have the same effect, this article verifies it. The result shows that the birthday is rumored in M & A., The stock price has significant positive abnormal returns before and after the occurrence of the stock market. Then, a similar conclusion is obtained after classifying the sample of the merger rumors.
Secondly, after the rumor of merger and acquisition, the listed company will issue a Clarification Announcement on the rumor of the M & A, clarifying the announcement both affirming the rumor and denying the rumor. This article will clarify the clarification announcement as the denial of the wording as a sample to study its clarification effect. According to the degree, it can be further divided into strong denial and weak. The study shows that clarification announcements can promote the recovery of stock prices, but there are still "clarification announcements of clarification but not clear", and the clarification effect of strong denial is better than that of weak denial.
Finally, the source honesty is considered as an adjustment variable, and the adjustment function between the clarification and the validity of clarification is studied. The source honesty is expressed by the number of violations of the enterprise. The number of violations indicates that the enterprise's source of honesty is low, the number of violations is few, and the source honesty of the enterprise is high. The result shows that the source honesty is clarified. The relationship between the wording and the validity of the clarification bulletin has a moderating effect. The higher the source of honesty is, the better the clarification effect. The clarification effect is the best in the case of high honesty and strong denial, and the worst of the clarification is in the case of low honesty and weak denial.
The conclusion of this paper has certain guiding significance for listed companies to deal with M & A rumors and how to make effective decisions when they face rumors of mergers and acquisitions.

【學位授予單位】：南京大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F271;F832.51

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本文編號：1838468