违法违规事件公告的信息传递效应研究

本文通过研究上市公司违法违规事件公告对行业内其他公司产生的影响来揭示违法违规事件公告的信息传递效应。以交易所披露的违法违规事件公告为样本,将公告公司行业内其他公司股票构建为投资组合,通过该投资组合的累积非正常收益来衡量违法违规事件公告的行业传递效应。结果发现,违法违规事件公告对行业内其他公司的影响是正面的,而且公告的披露存在内幕效应,细分后的违法违规公告引起的市场反应各异。

This paper investigates the information transfer effects of illegal announcements on the equity value of the illegal finn＇ competitors. We take the illegal events announced in Shanghai Stock Exchange and Shenzhen Stock Exchange as samples, and make an investment portfolio with other listed companies in the same industry. Then we calculate the abnormal earnings of the portfolio by event study to analysis the transfer effects. The empirical results show that illegal announcements have a positive response to other companies in the industry, and in addition, due to the effects of inside information in disclosures, subdivided illegal announcements cause different responses of the market.