政府关键领域科研项目导向对企业股票市场价值的影响

The Guidance Effects of Government Scientific Research Program in Key Fields on Firm Market Value

本文选择国家科技重大专项作为研究对象,尽可能全面地利用官方网站的公示信息与新闻媒体、证券公司的资讯报道、分析报告,确定了核高基领域的概念股。在此基础上有重点地查阅概念股的临时性公告与公司资讯,确定其承担重大专项的情况。对公开披露承担了国家科技重大专项的上市公司,利用Fama-French三因子模型回归研究其长期超额收益率;并利用事件分析的方法研究其在重大专项相关事件前后股票的短期累计超额收益率。

Focusing on the National Technology and Science Major Project,this paper identifies the related stocks by searching public information on the official website,news and analysis from media and securities companies.Then,it verifies whether the related stocks actually undertook major projects by searching their temporary announcements and business information.Using the Fama-French 3-factor model,it studies the long-term abnormal returns of those firms.Using the event study method,it also studies their short-term cumulative abnormal returns around major project events.