金字塔结构下企业集团的支撑效应——来自中国集团上市公司盈余公告效应的经验研究

The Propping Effect of Pyramidical Enterprise Group——Empirical Research from the Stock- Price Effects of Earning Announcement of Chinese Listed Enterprise Groups

本文基于上市公司盈余公告的视角,以2005-2012年中国集团上市公司为样本,研究金字塔结构企业集团支撑效应的存在性及其影响因素。结果显示:(1)盈余公告期间,公告公司与未公告公司的累积超常收益显著正相关,而且,公告公司的资源共享能力越强,未公告公司组合累积超常收益率对公告公司累积超常收益率的敏感性越高,这不仅证实了支撑效应在我国金字塔结构企业集团中存在,也为我国股票市场对支撑效应的事前预期提供了证据;(2)相比金融危机前,企业集团支撑效应在金融危机后有所减弱;(3)民营企业集团比国有企业集团具有更强的支撑效应,大公司的盈余公告具有显著的支撑效应。

Based on a perspective of earning announcement,and using data on Chinese listed enterprise groups of the year from 2005 to 2012,this paper researches the existence and influence factors of propping in enterprise group. We find that,firstly during earning announcements,the cumulative abnormal returns of announcing and non- announcing companies are significantly positively correlated in the same group. Besides,cumulative abnormal return of non- announcing companies yields more sensibility to cumulative abnormal return of announcing companies with stronger resource sharing ability,which not only verifies the existence of propping in Chinese enterprise groups,but also gives evidence on prior expectation to propping in stock market.Secondly,intra- group propping declines after the financial crisis. Thirdly,the research shows the intra- Group propping effect of private enterprise group is stronger than that of state owned enterprise group,and the earnings announcements from large companies have a significant propping effect.