摘要
本文选取 1 998年到 2 0 0 0年被实施特别处理的公司作为样本 ,详细分析了被特别处理公司公告的信息含量及其影响因素。研究发现在ST公告的 (- 40 ,+40 )事件窗口内的累计超额收益为负值 ,表明市场对ST公告作出了负面反应。同时 ,通过对样本细分进一步考察了市场对ST公告的各种反应。多元回归分析发现 :资产负债率越高的公司 ,市场对被特别处理公告的反应程度越大 ;市场对ST公告的不同年份及对实施特别处理的两种情况的负面反应程度有一定程度的差异 ;
Selected Special Treatment (ST) Companies from 1998 to 2000 as samples, we document a significantly negative stock price response to ST announcements. The segment samples also support this conclusion. The multivariate regression analysis suggest that firms with higher leverage experience a larger adverse stock price response, and market reacts differently to different year and different reasons which were specialized treatment. However, the size and age of the firms are not significantly related to equity wealth.
出处
《金融研究》
CSSCI
北大核心
2002年第9期61-71,共11页
Journal of Financial Research
