ST股票的超额回报率研究

The Abnormal Return of ST Stocks in China

ST制度是中国A股市场的特有现象,本文重点研究ST股票整体定价的合理性。通过检验股权分置改革以来2007-2018年间ST股票投资组合的超额收益,我们发现和媒体普遍报道的ST股票存在高超额收益不同,ST股整体上不存在显著的风险调整后超额收益,也就是说市场对于ST股票定价基本合理。虽然整体定价合理,我们发现小市值ST股票存在显著超额收益。进一步的,我们发现ST股票存在"IPO暂停效应",即在IPO暂停期间小市值ST公司具有更高的超额收益。IPO暂停效应意味着投资者没有充分预估到IPO暂停以及小市值ST公司重组增加的可能性。另外我们发现ST股票还存在显著的"财报效应",即ST股票超额收益在每年年报和半年报集中发布的三月和八月显著高于其它月份。

ST stock is the unique phenomenon in A-share market. This paper focuses on the rationality of the overall pricing of ST stocks. By calculating the daily abnormal return of ST stock portfolio from 2007 to 2018 since the reform of non-tradable shares,we found that, there is no abnormal return of the whole ST stock portfolio, which means that the market can price the ST stock effectively. Nevertheless, ST stock with the small market value has significant positive abnormal return. Further, we found the IPO suspension effect, that is, the small-cap ST companies have higher daily excess returns during IPO suspension. IPO suspension effect means that investors have not fully estimated the possibility of IPO suspension, so the price of small size ST companies are undervalued. In addition, we found that ST stock has a significant financial reporting effect, that is, the average daily abnormal return of ST stock reaches its peak in March and August when the annual report and semi-annual report are published, which is significantly higher than other months.