本文選題：非礦業(yè)上市公司 + 礦業(yè)投資　； 參考：《西南交通大學》2012年碩士論文

【摘要】：礦業(yè)投資相對于其他類型投資具有更高的風險且收益更不確定。但近年來我國證券市場上出現(xiàn)不少與礦產(chǎn)不相關(guān)的企業(yè)進行礦業(yè)投資的現(xiàn)象,同時這類投資行為在證券市場上受到投資者的親睞。因此本文就市場對非礦業(yè)上市公司的礦業(yè)投資公告的市場反應情況以及影響市場反應情況的主要因素進行了實證研究。 本文選取深市和滬市在2008年1月1日至2011年12月31日間發(fā)布了有關(guān)礦業(yè)投資公告的33家非礦業(yè)上市公司作為研究樣本,基于資本市場有效的假設(shè)運用事件研究法探尋礦業(yè)投資公告是否能引起市場反應。研究結(jié)果表明：礦業(yè)投資公告發(fā)布當天存在顯著的市場反應,且反應為正。在此基礎(chǔ)上,進一步對礦業(yè)投資的市場反應進行解釋。將托賓Q值作為礦業(yè)投資機會的替代變量,再參考其他類投資公告的市場反應的文獻,引入了有可能影響礦業(yè)投資公告的市場反應的因素進行多元線性回歸研究。研究結(jié)果顯示,市場反應與公司的投資機會存在顯著的負相關(guān),本文認為可能是因為進行礦業(yè)投資的上市公司的托賓Q值(投資機會)偏高,市場對于過高的托賓Q值的真實性持懷疑態(tài)度。除此之外研究結(jié)果還表明,市場反應與自由現(xiàn)金流量存在顯著的負相關(guān),與股利支付率存在顯著的正相關(guān),這兩個結(jié)論都在一定程度上驗證了自由現(xiàn)金流假設(shè)。同時研究發(fā)現(xiàn)市場反應與公司的規(guī)模呈顯著的負相關(guān)。最后根據(jù)實證結(jié)果,對公司、投資者和監(jiān)管部門三方提出了相應的建議。
[Abstract]:Mining investments are riskier and more uncertain than other types of investment. However, in recent years, many enterprises that are not related to mineral resources have invested in mining industry in China's securities market, and this kind of investment behavior is favored by investors in the securities market. Therefore, this paper makes an empirical study on the market reaction of the market to the mining investment announcement of the non-mining listed companies and the main factors affecting the market reaction. From January 1, 2008 to December 31, 2011, 33 non-mining listed companies listed in Shenzhen and Shanghai stock markets were selected as research samples. Based on the efficient hypothesis of capital market, the method of event study is used to find out whether mining investment announcement can cause market reaction. The results show that there is a significant market reaction on the day of mining investment announcement, and the reaction is positive. On this basis, further explain the market reaction of mining investment. Taking Tobin Q value as the substitute variable of mining investment opportunity and referring to the literature of market reaction of other kinds of investment announcement, the factors that may influence the market reaction of mining investment announcement are introduced into the multivariate linear regression study. The results show that there is a significant negative correlation between the market response and the investment opportunity of the company. This paper suggests that it may be due to the high Tobin Q value (investment opportunity) of the listed company investing in mining industry. The market is sceptical about the authenticity of the excessively high Tobin Q value. In addition, the results also show that there is a significant negative correlation between market reaction and free cash flow, and a significant positive correlation between market response and dividend payment rate. To some extent, these two conclusions verify the free cash flow hypothesis. At the same time, the study found that the market reaction and the size of the company were significantly negative correlation. Finally, according to the empirical results, the company, investors and regulatory departments put forward the corresponding recommendations.
【學位授予單位】：西南交通大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.51;F426.1

【參考文獻】

相關(guān)期刊論文 前10條

1 李常青,管連云;股權(quán)結(jié)構(gòu)與盈余管理關(guān)系的實證研究[J];商業(yè)研究;2004年19期

2 周文,李友愛;收益率相關(guān)性、小公司效應與市場有效性——對滬、深股票市場的實證檢驗[J];當代經(jīng)濟科學;1999年01期

3 郭春麗,張亞彬,杜玉環(huán);股權(quán)結(jié)構(gòu)與經(jīng)營績效關(guān)系的實證分析[J];貴州財經(jīng)學院學報;2002年04期

4 雷良海,杜小娟;上市公司多角化經(jīng)營程度與經(jīng)營績效關(guān)系的實證研究[J];上海理工大學學報;2003年04期

5 張露;黃京華;;基于事件研究方法的IT產(chǎn)業(yè)投資價值實證研究[J];管理科學;2010年04期

6 宋頌興，，金偉根;上海股市市場有效實證研究[J];經(jīng)濟學家;1995年04期

7 孫永祥,黃祖輝;上市公司的股權(quán)結(jié)構(gòu)與績效[J];經(jīng)濟研究;1999年12期

8 張兵,李曉明;中國股票市場的漸進有效性研究[J];經(jīng)濟研究;2003年01期

9 靳云匯,李學;中國證券市場半強態(tài)有效性檢驗——買殼上市分析[J];金融研究;2000年01期

10 陳小悅;陳曉;顧斌;;中國股市弱型效率的實證研究[J];會計研究;1997年09期

本文編號：1859754