本文關(guān)鍵詞： 媒體報(bào)道 注意力 信息發(fā)現(xiàn) 市場有效性 新《環(huán)境保護(hù)法》　出處：《中國注冊會計(jì)師》2017年03期 　論文類型：期刊論文

【摘要】：本文以滬深兩市重污染行業(yè)上市公司為研究對象,運(yùn)用事件研究法發(fā)現(xiàn),新《環(huán)境保護(hù)法》(以下簡稱"新法")實(shí)施給樣本上市公司帶來-20%的累計(jì)異常收益,股價(jià)下跌主要發(fā)生在"新法"實(shí)施前30個(gè)交易日至實(shí)施當(dāng)日。"新法"實(shí)施是歷史公開信息,為什么還能引發(fā)強(qiáng)烈的市場反應(yīng)呢?注意力假說認(rèn)為,新聞媒體關(guān)于"新法"的報(bào)道引起了投資者的注意力,注意力驅(qū)動引發(fā)股價(jià)下跌;信息發(fā)現(xiàn)假說認(rèn)為,"新法"頒布至"新法"實(shí)施的空白期間是投資者信息發(fā)現(xiàn)的過程,如果公司基本面信息透明或者良好,則緩解注意力驅(qū)動的股價(jià)下跌�；貧w分析支持注意力假說和信息發(fā)現(xiàn)假說。
[Abstract]:In this paper, the listed companies of heavy pollution industries in Shanghai and Shenzhen stock markets are taken as the research objects, and it is found that the implementation of the New Environmental Protection Law (hereinafter referred to as "the New Law") brings a cumulative abnormal return of -20% to the listed companies in the sample. Share price falls mainly occurred 30 trading days before the implementation of the "new law" to the implementation of the day. "the implementation of the" new law "is historical public information, why can cause a strong market reaction? The attention hypothesis holds that news media reports on the new law have attracted the attention of investors, and attention has driven the stock price down; The information discovery hypothesis holds that the blank period between the promulgation of the new law and the implementation of the new law is the process of investor information discovery, if the company's fundamental information is transparent or good, Regression analysis supports the attention hypothesis and the information discovery hypothesis.
【作者單位】： 合肥工業(yè)大學(xué)工業(yè)信息與經(jīng)濟(jì)研究中心;
【基金】：國家自然科學(xué)基金項(xiàng)目(J1424015) 安徽省教育廳人文社會科學(xué)研究項(xiàng)目(JS2014AJRW0096)
【分類號】：D922.68;F832.51

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