我国股票市场对公司创新信息发布短期反应的实证研究——以信息产业和生物制药产业为例

本文以我国信息和生物制药产业230家上市公司的95条创新信息为样本,采用事件研究方法,分析了公司创新事件信息发布对股票价格的短期影响。分别采用 t 检验、符号检验和秩检验,发现在创新事件发布当日,样本股票显著获得了正的非正常收益;在0,1]、-1,1]及-2,2]事件窗中,样本股票分别显著获得了正的累积非正常收益,说明公司的创新行动为股东创造了价值。对异常收益进行截面回归分析,发现创新事件所导致的异常收益与公司市场价值、资产规模、净利润、帐面市值比呈显著的负相关,而与上市时间存在显著的正相关关系。

An Empirical Study on Short Term Response of Chinese Stock Market to Listed Companies' Innovation News Announcement——Taking Listed Companies in IT and Biotechnology Industries as Samples

This paper takes 230 IT and biotechnology listed companies in China and 95 pieces of their innovative news as sample,utilizing event study approach and market yield model,analyzing how the news affects companies' short-term stock price movement.By the t test,sign test and rank test,we find that sample stocks achieve abnormal yield on their innovative news announcement and cumulative abnormal return significantly in event window of 2-day,3-day and 5 - day respectively,indicating that innovative operating activities have created value for the company.The cross section a- nalysis of abnormal return shows that abnormal return correlates negatively with company' s market value,size,profit level and book -market value ratio,while correlates positively with listing age.