中国上市公司被特别处理(ST)公告的资讯含量与影响因素

ST***#19982000STSTSTSTKeyWords:ListedCompanies,SpecialTreatments,AnnouncementEffects1998316,,,SpecialTreatment,ST200012ST812719992000STSTST1DistressFinancialDistressPerformanceDeclineorOperatingDistressEmeryetal,1998bankruptcyindefaultfailedinsolvencyAltman1977Wruck1991Gilson1997AndradeKaplan1997OplerTitman1994***#-30%Deangelo1990ClarkOfek1994Ofek1993DennisKruse2000Kangetal1997Aksu1997Altman1971ClarkWeinstein1983Lang19922000STST21ST,,2JensenandMeckling,1976,3OplerandTitman,1994ST4SudipDattaST5ST1998199920006STSTST1200ST41240-40+40ST40ST40-20+20-1+111A2ST403ST19982000AST819722STTaiwanEconomicJournal1PameiaP.Peterson1989211ST%19982331.94%19992940.28%20002027.78%22.78%3447.22%22.78%22.78%68.33%68.33%45.56%45.56%1216.67%3143.06%4156.94%1STST2PameiaP.Peterson19893147.22%16.67%8.33%45.56%22.78%13143%4157%IPO121181519931996199475%19931996199436.59%,1993199618.26%10.47%219.18%9.59%9.59%8.22%56.85%45.48%2534.25%199831.58%22.22%5.93%2ST%1998ST1419.44%6322.22%79.72%1185.93%79.72%5313.20%68.33%1931.58%56.94%4710.64%45.56%3411.76%45.56%498.16%2534.72%3725872%,2028%2716939%21%13%47816%10%111%24855275806919971998130700144254ST3200136%38%1997199834.59%33.93%0.640.652000ST0.580.60ST0.49519980.474.953-6199319963ST%2838.89%1520.83%912.50%5272.22%45.56%79.72%811.11%11.39%2027.78%4639737626185527580690.050.730.360.38194.950.081.120.640.65/0.437.322.252.01STTEJEventStudyBrownandWarner19801985PamelaP.Peterson1989-240-41Rmttjjeba++=mtjjjtRRDodd-Warner1983SjtSj=j4Tj=Rmt=tRm=ARNtttjjN-10-1+1-10+10-40+40CARNn,,1?ST5ST-1,+1-5,+5-10,+10-20+20-40+402000ST401,ST422.162000-40+4019981999-40+40-1+1-5+5-10+10-20+20199820004SjSjtjtjtjtjtRRAR-==ejtjtjtSARSAR/=))(/)(1(1221∑=--++=jjTtmmtmmtTjjtRRRRSS∑==NjjtNtARNAR115STSTAAR%t-%-400.621.7452-200.030.1657-10-0.22-0.4142-5-0.34-1.0143-4-0.26-0.5937-3-1.20-4.0433-2-1.44-4.3429-1-1.17-3.60300-2.15-6.9729+1-1.60-4.7029+2-1.88-5.7729+3-0.66-1.7742+4-0.39-0.4546+5-0.70-1.7842+100.331.0356+20-0.44-1.9848+400.310.5460-1,+1-4.92-8.8121-5,+5-11.85-10.5626-10,+10-12.7-7.8529-20,+20-17.8-8.2830-40,+40-18.5-6.0232AR19982000A6ST1998-2000AAR%CAR-1+1CAR-5+5CAR-10,10CAR-20+20CAR-40+40199823-2.24730-6.2-17.9-16.00-14.7-8.79199929-0.811138-3.72-9.73-12.24-30.70-47.94200020-3.86315-4.95-7.72-8.18-3.1612.2031-2.511032-5.40-12.45-13.73-15.32-15.6541-1.871127-4.55-11.29-11.89-19.60-20.6834-3.11721-5.62-14.26-15.17-17.54-20.896-5.8800-8.57-13.05-12.69-14.98-8.296-2.88117-5.87-5.13-5.67-4.146.884-1.21250-8.06-18.19-21.22-30.36-31.4212-1.01542-1.66-6.43-9.00-10.42-3.4852-1.931733-4.77-10.70-12.75-17.50-19.3420-2.70420-5.30-14.62-12.69-18.42-16.53:AAR;;CAR-1,+113;,2.2ST2.356-40+40-40+405ST2.4ST64372510%13ST1+64t-1.4410%20%45467ST1998-2000123456-39.511(-1.622)-13.535(-0.833)-11.764(-0.694)-4.689(-0.276)-49.243(-1.905)-2.236(-0.129)5.071(1.322)1.407(0.506)1.568(0.539)0.526(0.185)6.415(1.608)0.690(0.246)1.268(0.208)0.046(0.007)-6.965(-1.033)0.191(0.028)-4.880(-0.742)-7.654(-1.441)-8.204*(-1.722)-11.749**(-2.343)-10.160*(-2.112)-8.692**(-1.644)-9.744*(-2.033)/1.542(1.387)2.094**(1.821)ST1998-1.790*(-3.025)ST19995.384*(2.029)ST20002.849(1.153)7.505*(2.529)-3.960(-1.288)-3.190(-1.040)-2.112(-0.481)-0.900(-0.207)7.618**(1.686)4.522(0.969)-6.301(-1.244)-4.112(-0.805)4.283(1.181)4.118(1.101)-5.285*(-2.249)-3.468(-1.334)IPO19931.041(0.408)IPO19965.612*(2.023)IPO1997-4.707(-0.846)F2.0024.4662.3192.5041.6592.762—R20.0410.1960.0690.1450.0610.244-5,+5ST1998ST2000IPOIPO1993IPO1996IPO1997;ST1+**5%*10%1998199920002219985%2000STST6199920005STST35%62.4ST1993199619971993199619965%1997200019971994199519977ST4ST42.3ST58STST19982000STSTST71998199784STSTAksu,MineH.2001,TheEffectofSize,Book-to-MarketRatioandPriorDistressInformationontheMarketReactiontoTroubledDebtRestructuringAnnouncementsSSRNworkingpaperseries.Clark,TrumanA.,andMarkWeistein,1983,TheBehavioroftheCommonStockofBankruptFirms,JournalofFinance38,489-504;Clark,KentandOfekEli.,MergersasaMeansofRestructuringDistressedFirms:AnEmpiricalInvestigation,JournalofFinancialandQuantitativeAnalysis,Vol.29,Issuse4Dec.1994;Deangelo,HarryandDeangelo,Linda,DividendPolicyandFinancialDistress:AnEmpiricalInvestigationofTroubledNYSEFirms,JournalofFinance,Vol.XLV,No.5,December1990;Dodd,Peter,andWarner,JeroldB.,1983,OnCorporateGovernance:AStudyofProxyContests,JournalofFinancialEconomics11,401-438;GilsonStuartC.,1997,TransactionsCostsandCapitalStructureChoices:EvidencefromFinanciallyDistress.JournalofFinance,Vol.LII,No.1,March1997;Jensen,MichaelC.andWilliamH.Meckling,1976,TheoryoftheFirm:ManagerialBehavior,AgencyCostandOwnershipStructure,JournalofFinancialEconomics3305-360;JohnY.Campbell,AndrewW.Lo,A.CraigMackinlay,TheEconometricsofFinancialMarkets,PrincetonUniversityPress,1996.KangJun-Koo,ShivdasaniAnil.,1997,CorporateRestructuringDuringPerformanceDeclinesinJapan,JournalofFinancialEconomics46199729-65;Lang,LarryH.P,andStulz,ReneM.ContagionandCompetitiveIntra-industryEffectsofBankruptcyAnnouncements,JournalofFinancialEconomics32199245-60;Ofek,Eli1993,CapitalStructureandFirmResponsetoPoorPerformance:AnEmpirical