配股融资与股票超常收益率

Equity Financing and Cumulative Abnormal Return

基于事件研究法对2000-2004年沪深股市实施配股的286家A股上市公司在公告日、股权登记日、除权日和上市日表现的研究,以及对配股短期价格效应的分析后发现:事件窗口的选择及其长度是影响累计超常收益率的重要因素,配股再融资的市场总体累积效应是积极和正面的。

This paper chooses 286 listed companies implementing rights issues from Chinese A share stock market from 2000 to 2004 and traces and studies their performances on some particular days such as the announcement date, the date of record, the ex-dividend date and the date of going public. Then, the paper analyzes price effect of rights offering in short term and points out the internal reason of equity financing preference. It is found that the choice and the length of event window are important factors in influencing cumulative abnormal retum（CAR）. Third, the paper chooses and analyzes the CARs during the term from 40 days before announcement date of rights offering to date of record, and the term from ex-dividend date to 20 days after coming into the market date. The chosen events and their lengths are better than before. The results show that the total cumulate market effect of rights offering is active and positive.