摘要
近些年来,随着监管机构加大对证券违规监管的力度,越来越多的上市公司被指出有违法违规行为,证券违规处罚对上市公司及投资者投资行为产生了重要影响。证券违规处罚往往作为突发事件,很难提前预期,根据"过度反应"理论,市场可能会对违规处罚公告做出过度反应。本研究以2010—2019年中国A股上市公司的违规公告数据为样本,运用t检验和计量回归的方法,研究了A股上市公司的违规处罚在中长期市场中是否存在过度反应。通过对短期内不同类型的证券累计收益率的t检验发现,短期内市场对证券违规处罚存在显著的负面反应以及一定程度的过度反应的假设是成立的。但从中长期来看,市场对证券违规处罚并不存在显著的过度反应。通过建立多元回归模型探究股票不同时期收益与短期累计超额收益的关系,验证了机构投资者持股有助于受罚公司股价修复的假设。对于证券违规处罚,个人投资者更容易反应过度,机构投资者相对理性。因此,应继续加强对投资者的教育工作,提高投资者理性水平,同时要提高监管有效性。
With the improvements in the supervision of Chinese domestic share(A-share)markets,more and more listed firms are penalized for financial misconduct.Penalties for securities violations have an important impact on the investment behavior of listed companies and investors.Securities violation penalties are often regarded as emergencies and are difficult to anticipate in advance.According to the"overreaction"theory,the market may overreact to the announcement of violation penalties.Using the data of violation announcements of China’s A-share listed companies from 2010-2019,we use t-test and regression method to study whether the company’s violation penalties are overreacted in the medium and long-term market.We find that the hypothesis that the market has a significant negative reaction to penalties for securities violations and a certain degree of overreaction in the short term is valid.However,in the medium and long term,the market does not have a significant overreaction to penalties for securities violations.In addition,the data reveals that individual investors are more susceptible to overreact than their institutional counterparts and make capital losses.Regarding penalties for securities violations,individual investors are more likely to overreact,and institutional investors are relatively rational.These findings suggest that policymakers should pay special attention to educate investors,and at the same time,improve the effectiveness of supervision.
作者
刘陆宇
冯科
LIU Lu-yu;FENG Ke(School of Economics,Peking University,Beijing 100871,China)
出处
《安徽师范大学学报（社会科学版）》
CSSCI
2021年第4期122-136,共15页
Journal of Anhui Normal University(Hum.&Soc.Sci.)
基金
国家社会科学基金后期资助项目(20FJYB062)。
关键词
证券
违规
处罚
过度反应
投资者
securities
violations
penalties
overreaction
investors
