摘要
股价对"好"信息的提前反应,其实质是特定的公司治理结构中代理人的道德风险行为(泄漏消息)作用于股票市场的结果。治理结构的天然差异,导致了国有控股公司高管在行为决策上相对民营控股公司,更倾向于泄漏利"好"信息。论文选取国有、民营两类高送转公司样本,首先在CAPM模型滚动预测的基准收益率基础上,计算和比较两类样本的异常收益率和累积异常收益率;其次,运用多元回归模型,在控制其他影响因素的条件下分析累积异常收益率和产权结构之间的关系;再次,采用添加虚拟变量的面板CAPM模型,对比分析两类公司在信息公告日附近的股价趋势改变效应上的差异;最终验证了国有控股公司比民营控股公司更容易泄漏利"好"信息的结论。
The essence of stock price reacting ahead of time towards ＂good＂ news is the result of corporate agent＇s moral hazard behavior, with specific corporate governance structure, acting on the stock market. The nat- ural differences of governance structure cause that executives＇ behavior decision in state - owned companies tend to leak ＂good＂ news compared to the private -owned companies. Firstly, on the base of rolling CAPM model to forecast benchmark rate of return, we calculate and compare the abnormal return and cumulative abnormal re- turn of two kinds of samples, state - owned companies and private - owned companies having sent a high. Sec- ondly, using multiple regression model, we analyze the relationship between cumulative abnormal return and ownership structure under the condition of controlling other factors; Thirdly, using panel data CAPM model adding dummy variable, compare and analyze the differences of stock price trend changing effect near the event announcement between two types of companies ; Finally, we verify the conclusion that it＇s easier for state - owned companies to leak ＂good＂ dividend news than the private companies.
出处
《金融研究》
CSSCI
北大核心
2013年第11期167-179,共13页
Journal of Financial Research
