零售批发业上市公司网上投资者关系管理对其股票业绩的影响实证分析.docVIP

零售批发业上市公司网上投资者关系管理对其股票业绩的影响实证分析 XU Yan-fang1, WANG Gui-qin2 1 School of Economics and Management, Tsinghua University, 100086 2 School of Economics and Management, Tsinghua University, 100086 摘要：本文的目的是研究上市公司网上投资者关系管理与其股票价格表现间的相关性。通过构建评分指标体系，将在上海股票交易所上市的零售批发行业的公司进行分组，从中找到满足IR=1和IR=0的两组公司，数目分别为9个和7个。以这两组公司为目标公司，在2004年1月1日至2006年12月31日这个时间段内（各目标公司的网上投资者关系管理活动均连贯一致）跟踪它们的股票价格表现，判断公司网上投资者关系管理(IR)是否与其股票价格相关。文章首先通过计量模型论证目标公司的每周收益率与沪市股指收益率间可能存在的关系，然后引入超额收益率，对IR=1和IR=0的两组公司的超额收益率在2004.1.1-2004.12.31、2004.1.1-2005.12.31及2004年1.1-2006.12.31三组时间段内进行t检验，对于IR=1的公司，三组检验均得出了超额收益率显著为正的结论，而对于IR=0的公司，三组检验结果均是超额收益率不显著为正。通过这个对比检验得出结论：零售批发行业上市公司的网上投资者关系管理与其股票价格相关；网上投资者关系管理表现优秀的公司，其股价超额收益率显著为正，而表现较差的公司，其股价则无此特征。 关键词：超额收益率，股指收益率，每周收益率，网上投资者关系管理 Abstract: This paper focuses on the relationship between internet investor relations (IR) management by listed companies and the behaviour of their stock prices. 16 listed companies in the wholesale and retail industry on Shanghai Stock Exchanges (9 in IR=1group and 7 in IR=0 group respectively). This paper tracks their stock prices from January 1st 2004 through December 31st 2006. After validity study of relationship between the weekly returns of stock shares and stock index by econometrical methods, t-tests of extra returns of the target companies’ share prices were conducted. Tests covered three periods: January 1st 2004-December 31st 2004, January 1st 2004-December 31st 2005 and January 1st 2004-December 31st 2006. In each test, the extra returns of stock prices of companies whose IR was rated IR=1 yields strong positive significance while the IR=0 companies show no such significance. Our major finding is that internet investor relations management is related with share returns of listed companies in the wholesale and retail industry and better IR management may lead to better behaviour of share price. Keywords: Extra Weekly Returns，Internet Investor Relations Management, Stock Index Returns, Weekly Returns 1 上市公司每周收益率与沪市股指每周收益率的关系研究 文章针对零售批发行业进行