我国财务困境公司重组摘帽的股价效应

Stock Price Effect of Uncapped Announcement of Distressed Firms in China

以2003～2007年度被特别处理,而且截至2009年底撤销特别处理(摘帽)的A股上市公司为研究样本,运用短期事件研究法和长期事件研究法,详细分析了重组摘帽的股价效应情况。从短期事件研究法分析结果可知,投资者无论对整体样本还是对于按照年度、行业、交易所进行划分的各细分样本均做出了积极的反应。从长期事件研究法分析结果可知,摘帽当月长期持有超额收益为正(3.86%),且在1%水平显著,摘帽后的三年内股东财富水平下降了2.32%(均值),因此,从长期来看摘帽并没有给股东创造价值。

This paper selects Special Treatment Companies from 2003 to 2007 as samples,which were uncapped by the end of 2009,adopts short-term and long-term event study method and elaborates on the stock price effect of restructuring of the uncapped distressed firms.Studies of the short-term event study method show that investors hvae positive reactions both the whole samples and the subsection samples whether they are classified by years or industries or securities.Studies of the long-term event study method show that buy and hold abnormal return（BHAR） is positive（3.86%） just in the restructuring month,and significant at level of 1%,shareholders wealth decline 2.32%（mean） at average in three years.Therefore,restructuring didn＇t creat value for shareholders.