合资项目投资公告的市场反应：来自中国股票市场的证据-企业管理专业论文.docxVIP

摘要本文以中国上证A股公司2000年6月1日至2007年3月1日间发布的合 摘要 本文以中国上证A股公司2000年6月1日至2007年3月1日间发布的合 资项目投资公告为研究样本，运用事件研究法来探讨上市公司合资项目投资公告 是否能够引起市场反应。统计结果发现，伴随着合资项目投资公告的发布，事件 窗(．2，．1)存在显著的市场反应，且反应为负。继而笔者引入若干变量对这种 市场反应做出解释，发现发布公告公司的自由现金流量与事件窗(．2，．1)累计 异常报酬率存在显著的负相关，从而一定程度上验证了自由现金流量假说。 论文共四章，第一章主要对以往相关研究文献进行回顾：第二章介绍研究设 计，重点介绍事件研究方法和样本数据的收集，并对异常报酬率和累计异常报酬 率做t检验，检验其是否显著不为零，进而得出是否存在显著市场反应的结论； 第三章阐述引入若干解释变量的原因，并进行回归分析。最后一章为本文的研究 结论和不足。 本文的特色在于：1、第一次对中国上市公司合资项目投资公告的市场反应 进行实证检验。2、为收集尽可能“干净”的数据，本文将公告日前后五天内有 其他重大公告的样本排除在外。3、为了解释中国股票市场合资项目投资公告负 反应，笔者引入自由现金流变量，实证结果从一定程度上验证了自由现金流量假 说。 关键词： 合资项目；公告效应；自由现金流量 AbstraetThe Abstraet The results of this study based sample of listed domestic firms that have publicly announced their investment decisions during the period from June 2000 to March 2007．Those firm’S shares transacted only in Shanghai Stock Exchange，which called A share．Event study methodology is employed to investigate whether there any market reactions to the release ofjoint venture investment decisions．Statistics show that market reaction in the Day(一2， -1)is significant,especially it is negative．The essay then turns to introduce some variables to explain such phenomena．OLS regression results show that there is significantly negative relation between the cumulative abnormal returns of Day(-2，-1)and free cash flow variable．To some extent，I find evidence support the Jensen’S free cash flow hypothesis in 1 986． The essay is composed of four parts．In chapterl，it mainly introduces the previous studies in this related field．Chapter2 is research design，which includes how to lead event study and sample selection．Finally T test of CAR was conducted that the essay figure out whether not there any market reactions to joint venture investment decision announcement．Chapter3 basically discusses the those variables chosen to explain such phenomena．Besides， regression results and some analysis based the regression results presented in this chapter． The last chapter makes some conclusions and discusses the essay’S