慈善捐赠的股市效应及其影响因素再研究——基于调整的市场模型和非参检验方法

A New Study about Market Effect of Philanthropic Giving and Influencing Factors——Based on Adjusted Market Model and Non-parametric Test Method

本文以74家上市公司为样本,根据调整的市场模型和非参检验方法,在增加模型检验期的基础上对玉树地震后企业慈善捐赠的股市效应进行了估计判断,并实证分析了股市效应的影响因素。研究表明,调整的市场模型预测能力显著提高,企业慈善捐赠对股市有明显的负向冲击效应,并随着时间推延和捐赠信息的扩散而逐渐弱化。政府控制型企业捐赠获得的股市效应明显低于非政府控制型企业,捐赠比率与股市效应显著正相关,而捐赠金额并非投资者反应的直接根据。

Using adjusted market model and non-parameter test method and adding test period,this paper makes an empirical study about the market effect of philanthropic giving and its influencing factors after Yushu Earthquake,based on a sample of 74 Chinese listed companies.The results indicate that adjusted market model's predicted power is much better than market model,and symbolic test method and kernel density estimate both show that philanthropic giving does have a negative market effect,and the effect gradually weaken as market message spreads.Moreover,listed firms of government control style gain averagely lower cumulative abnormal return than that of non-government control style.The market effect is significantly positively correlates to the donation ratio,while donation amount is not the factor.