ST公司主动戴帽和市场操纵行为研究.pdfVIP

ST 公司主动戴帽和市场操纵行为研究 ST 公司主动戴帽和市场操纵行为研究 摘要：我国从1998 年起开始对连续亏损两年的上市公司实施ST （特别处理）制度。我 们发现在部分ST 司身上存在一种“ST 异象”，即通过主动戴帽并摘帽来获得超额市场收 益。本文从机制设计的角度研究这一问题。本文首先定义并识别一类利用盈余管理调减可操 控性应计利润而主动戴上 ST 帽 的 司为主动戴帽公司（样本组）。然后采用事件研究法 对样本组的超额收益进行分析。实证研究表明，在戴帽时，样本组ST 司存在显著负超额 收益；而在摘帽时，样本组 ST 公司则存在显著正超额收益。在整个戴帽期间，样本组 ST 公司平均累计超额收益也显著为正。这说明，样本组ST 公司确实有通过主动戴帽行为操纵 市场以获取超额收益的动机。本文的研究不仅丰富了已有的公司金融和财务管理文献，也为 监管部门填补政策漏洞提供了一个新的视角。 关键词：ST 司，主动戴帽，市场操纵，机制设计 JEL Classification ：G 14，G 18 Initiative Special Treatment and Market Manipulation of ST Companies Abstract: The policy of special Treatment had been put into effect from 1998 in China. We find that there is a kind of ST anomaly, that is, some ST companies volunteer to be specially treated to gain abnormal market returns. This paper studies that issue from the view of mechanism design. Based on the unexpected accruals model, this paper studies earnings management of the special treated companies between 2001 and 2012 which are removed the title of ST in 3 years and before 20 12. And the paper selects the ST companies which reduce discretionary total accruals before the year of removing the title of ST. All of these ST companies are defined as sample group in this paper. Mainly using event study, this paper investigates the return of sample groups. It shows that at the moment of being specially treated, ST companies of sample group gain significant negative abnormal return. And at the time of removing the title of ST, ST companies of sample group obtain significant positive abnormal return. While during the whole period of special treatment, the positive abnormal return of them is significantly remarkable. It means that ST companies of sample group manipulate the stock market by initiative special treatment so as to get abnormal return. Keywords: