投资者有限关注与并购重组事件的停牌效应
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摘要
基于认知心理学的"有限关注"理论,以股吧发帖量数据作为投资者关注度指标,针对个股当期和滞后一期的反应进行了分析,检验了并购重组事件中的停牌效应和信息传播有效性。实证结果表明,停牌显著增加了市场信息的流通,缓解了并购重组重大事件对上市公司股价造成的波动,即停牌期间投资者关注度与其复牌日股价波动成反比。同时,停牌期间发帖热度越高,投资者关注度越高,其持有相关股票的动机越大,个股回报率越高。此外,上市公司并购重组事件停牌前一周内存在信息泄漏问题,有显著的异常收益。这些发现有利于优化上市公司相关停牌的决定,对投资者的有关投资决策和监管部门对并购重组的信息披露有积极意义。
The reaction of current period and the last periods of individual share was analyzed based on the theory of"limited attention",taking postings on the Gub as an attention index of investors to inspect the suspension effect of acquisition and reorganization and effectiveness of information spreading.Empirical results showed that suspension significantly enhanced circulation of market information,relieved the fluctuation of share price of listed companies caused by acquisition and reorganization,that is the attention of investors and its share price fluctuation on resuming trading date during a suspension period.At the same time,the more postings during a suspension,the higher attention of investors.Their motivation of holding relevant shares will be more and rate of return of individual share will be higher.In addition,it was found that there were leakage of information on the acquisition and reorganization in listed enterprises a week before suspension,and there were significant returns.These findings are beneficial to optimization on decisions related to suspension of listed enterprises,and they have a positive significance on the relevant investment decisions of investors and information disclosure of supervision department about acquisition and reorganization.
The reaction of current period and the last periods of individual share was analyzed based on the theory of"limited attention",taking postings on the Gub as an attention index of investors to inspect the suspension effect of acquisition and reorganization and effectiveness of information spreading.Empirical results showed that suspension significantly enhanced circulation of market information,relieved the fluctuation of share price of listed companies caused by acquisition and reorganization,that is the attention of investors and its share price fluctuation on resuming trading date during a suspension period.At the same time,the more postings during a suspension,the higher attention of investors.Their motivation of holding relevant shares will be more and rate of return of individual share will be higher.In addition,it was found that there were leakage of information on the acquisition and reorganization in listed enterprises a week before suspension,and there were significant returns.These findings are beneficial to optimization on decisions related to suspension of listed enterprises,and they have a positive significance on the relevant investment decisions of investors and information disclosure of supervision department about acquisition and reorganization.
引文
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[2]Julian R,Franks R,Harris S.Shareholder Wealth Effects of Corporate Takeovers☆:The U.K.Experience 1955-1985[J].Journal of Financial Economics,1989,23(2):225-249.
[3]张新.并购重组是否创造价值?——中国证券市场的理论与实证研究[J].经济研究,2003,49(6):20-29.
[4]Jensen M B,Meckling W H,Blomberg J M,et al.Theory of the Firm:Managerial Behavior,Agency Cost and Ownership Structure[J].Social Science Electronic Publishing,1976,3(4):305-360.
[5]Bruce C Greenwald,Jeremy C.Stein.Transactional Risk,Market Crashes,and the Role of Circuit Breakers[J].Insurance:Mathematics and Economics,1993,12(1):443-462.
[6]Chen Haiwei,Chen Honghui,Valerio N.The Effect of Trading Halts on Price Discovery for NYSE Stocks[J].Applied Economics,2003,35:91-97.
[7]Ready M J,Seguin P J.Volume,Volatility,and New York Stock Exchange Trading Halts[J].Journal of Finance,1994,49(1):183-214.
[8]廖静池,李平,曾勇.中国股票市场停牌制度实施效果的实证研究[J].管理世界,2009,25(2):36-48.
[9]黄维.我国A股市场股票停牌时长的影响因素及其市场反应研究[D].北京:清华大学,2010.
[10]俞庆进,张兵.投资者有限关注与股票收益——以百度指数作为关注度的一项实证研究[J].金融研究,2012,32(8):152-165.
[11]岑维,童娜琼,何潇悦.投资者关注度与中小股东利益保护——基于深交所“互动易”平台数据的实证研究[J].证券市场导报,2016,26(2):54-62.
[12]王勇,杨庆运.我国网络关注度对股票收益的影响——基于和讯关注度的实证研究[J].投资研究,2014,33(2):143-149.
[13]宋双杰,曹晖,杨坤.投资者关注与IPO异象——来自网络搜索量的经验证据[J].经济研究,2011,57(增刊):145-155.
[14]Louis H,Sun A.Investor′s Inattention,Strategies Timing of Merge Announcements,and Stock for Stock Acquirers’LongTerm Underperformance[J].Working Paper,2009:31-40.