上市公司处罚公告的市场反应研究-会计学专业论文.docxVIP

上市公司处罚公告的市场反应研究摘要 上市公司处罚公告的市场反应研究 摘要 近来，上市公司舞弊的案例受到了包括社会公众、投资者、学术界和监管 层等各方面的高度关注。而作为中国资本市场监管最高权力机关的中国证监会 及其领导下的证券交易所，其公布的处罚公告则成为投资分析的重要信息来源 以及各方密切关注的焦点。 本文以2001-2010十年间被中国证监会以及深交所和上交所公开处罚的上 市公司为研究样本，同时采用超额收益法与多元回归分析来研究股票市场对上 市公司处罚公告的市场反应，以检验资本市场是否对处罚公告有所反应以及不 同信息的处罚公告是否会引起不同的市场反应。通过研究，本文得出在监管机 构正式处罚后较短时期内，尤其是处罚公告公布后三天内，研究样本和控制样 本的资本市场反应有显著差异，处罚公告是具有信息含量的。同时，笔者也发 现虽然在处罚公告公布前十天到前五天，市场对于财务舞弊原因与非财务舞弊 原因的反应有显著差异，但是在处罚公告公布后，市场对两者的反应并没有显 著差异。 关键词：处罚公告；市场反应；信息含量 THE THE MARKET RESPONSE 0F THE LISTET C0Ⅳ【PANIES’PENAIJY NOTICES ABSTRACT In recent years，cases of fraud by listed companies have been given the great concern from all aspects of society,including the public，investors，academics and regulators．As the highest authority of China’S capital market regulator’the China Securities Regulatory Commission(CSRC)and the stock exchange under the leadership of the CSRC have announced the penalty notice which has become an important source of information for investment analysis and the focus that the parties pay close attention to． This paper has taken the listed companies which have been publicly punished by The China Securities Regulatory Commission and Shenzhen Stock Exchange and Shanghai Stock Exchange between the decade 200 1—20 1 0 as the sample，and has used the Cumulative Abnormal Return Method and multiple regression analysis to study the stock market response tO the listed companies’punishment announcements，tO test whether capital markets respond to announcements of punishment and whether penalties for different information notice will result in di fferent market reaction．The research shows that this paper have come tO in a relatively short period after the official penalty of regulators，especially after the II publication publication of penalty notice within three days，the capital market reaction of the study samples and the control samples were significantly different，in other words， penalty notices have the information content．This paper also found that althoug