基于投资者关注的新冠疫情捐赠公告市场反应研究

Research on Market Reaction to the COVID-19 Epidemic Donation Announcement Based on Investors’ Attention

以新冠疫情捐赠公告为研究对象,基于事件研究法探讨投资者关注对于捐赠公告市场反应的影响,研究发现:上市公司疫情捐赠公告的市场反应总体为正;以公告窗口期前三个月的日均换手率衡量的投资者关注度与捐赠公告市场反应成正比;非交易日以及捐赠公告集中日发布的捐赠公告引发的正面市场反应较弱;标题列明捐赠字样以及正文列明捐赠金额的公告吸引了更多投资者关注,正面市场反应更为明显;相对于非湖北地区和非社会责任敏感型公司,投资者对总部在湖北境内的公司捐赠公告的正面反应较弱,对社会责任敏感型公司的捐赠公告正面反应较强。

Based on the event study method, the impact of investors’ attention on the market of donation announcement during COVID-19 epidemic was studied. The results show that the market reaction to the donation announcement of listed companies is generally positive. Investor attention, as measured by the average daily turnover rate in the previous three months of the announcement window, is positively related to the market reaction of the donation announcement. The positive market reaction caused by donation announcement released on non-trading days and donation announcement concentration days are weaker. The announcement with the title of donation and the text specifying the amount of donation attract more attention from investors,and the positive market reaction are more obvious. Compared with non-Hubei regions and non-social-responsibility-sensitive companies, investors’ reaction to donation announcement of companies headquartered in Hubei is weaker, while that of social-responsibility-sensitive companies is stronger. The research results provide guidance for listed companies’ social responsibility information disclosure strategy.