發(fā)布時(shí)間：2018-03-18 11:13

  本文選題：事件研究法　切入點(diǎn)：投資價(jià)值　出處：《南京財(cái)經(jīng)大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：2012年11月19日,酒鬼酒塑化劑超標(biāo)260%被爆出,信息發(fā)布后,白酒行業(yè)的股票全部隨之而下跌!緊接著,2012年12月24日,中央軍事委員會(huì)發(fā)布的《中央軍委加強(qiáng)自身作風(fēng)建設(shè)十項(xiàng)規(guī)定》中指出,要求在接待工作中不安排豪華宴請(qǐng)、不喝酒、不鋪設(shè)迎賓地毯、不擺放花草、不組織官兵列隊(duì)迎送等講排場(chǎng)的活動(dòng)。12月24日當(dāng)天,受“禁酒令”事件影響,白酒類股票大幅下跌,領(lǐng)跌各大行業(yè)板塊,其中貴州茅臺(tái)日蒸發(fā)流通市值高達(dá)125億元。在這樣的背景下,塑化劑事件與禁酒令對(duì)白酒行業(yè)投資價(jià)值影響引起了資本市場(chǎng)的廣泛關(guān)注,這也是本文研究選題的初衷。本文研究塑化劑事件與禁酒令事件發(fā)生以后,對(duì)白酒類上市公司投資價(jià)值的影響。因此選取白酒類上市公司作為研究樣本,即行業(yè)代碼為C15；運(yùn)用事件研究法進(jìn)行研究,通過計(jì)算累積非正常收益(CAR值)和購買并持有非正�；貓�(bào)率(BHAR值)這兩個(gè)替代變量指標(biāo)來進(jìn)行分析。首先,本文回顧了塑化劑事件與禁酒令事件市場(chǎng)反應(yīng)的相關(guān)理論以及上市公司投資價(jià)值分析的相關(guān)理論。根據(jù)有效資本市場(chǎng)理論,提出三大研究假設(shè)：一是塑化劑事件的累積非正常收益為負(fù)；二是禁酒令事件的累積非正常收益為負(fù)；三是塑化劑事件與禁酒令事件導(dǎo)致購買并持有非正常回報(bào)率下降。然后,本文搜集了白酒類行業(yè)相關(guān)的股價(jià)指標(biāo)數(shù)據(jù),運(yùn)用事件研究法,通過EXCEL,SPASS等統(tǒng)計(jì)工具的處理,結(jié)合市場(chǎng)模型和市場(chǎng)調(diào)整模型分別計(jì)算累積非正常收益(CAR值)并進(jìn)行T檢驗(yàn),將兩者的結(jié)果進(jìn)行比較,研究發(fā)現(xiàn)塑化劑事件與禁酒令事件發(fā)生后,白酒類上市公司出現(xiàn)了明顯的負(fù)面市場(chǎng)反應(yīng),從而驗(yàn)證了假設(shè)1和假設(shè)2。接著,本文將塑化劑事件與禁酒令事件結(jié)合起來進(jìn)行長(zhǎng)短期分析,通過累積非正常收益(CAR值)配對(duì)T檢驗(yàn)發(fā)現(xiàn)短期內(nèi)塑化劑事件對(duì)白酒類上市公司投資價(jià)值的影響相對(duì)于禁酒令事件要大一些,且長(zhǎng)期內(nèi)通過計(jì)算購買并持有非正�；貓�(bào)率(BHAR值)發(fā)現(xiàn)塑化劑事件與禁酒令事件使得購買并持有非正常回報(bào)率下降,從而驗(yàn)證了假設(shè)3。這說明其投資價(jià)值持續(xù)降低,對(duì)于短期投資者來說,投資建議是拋售手中的股票。最后,本文總結(jié)了相關(guān)研究結(jié)論,結(jié)合研究結(jié)論,提出白酒行業(yè)要實(shí)現(xiàn)健康、持續(xù)地發(fā)展,務(wù)必從自身出發(fā),從根源上解決問題。在此基礎(chǔ)上,提出白酒行業(yè)發(fā)展的幾點(diǎn)建議。
[Abstract]:In November 19th 2012, the wine wine plasticizer exceeds the standard 260% is burst, after the information release, the liquor industry stock all then falls! Then, on December 24th 2012, the Central military Commission issued the "Ten regulations on strengthening the work style of the Central military Commission", which pointed out that it was required not to arrange luxurious banquets, do not drink alcohol, do not lay welcome carpets, and do not place flowers and plants in the reception work. On December 24th, under the influence of the "prohibition" incident, liquor stocks dropped sharply, leading to a drop in major industries. Among them, market value, a daily evaporative circulation in Moutai, Guizhou Province, is as high as 12.5 billion yuan. Against this background, the impact of plasticizer incidents and prohibition on the investment value of the liquor industry has aroused widespread concern in the capital market. This is also the original intention of this study. This paper studies the influence of plasticizer events and prohibition events on the investment value of listed liquor companies. That is, the industry code is C15; the method of event study is used to carry out the research, and the two alternative variable indicators, namely, calculating the cumulative abnormal income and car value) and buying and holding the abnormal rate of return / BHAR), are used to analyze. This paper reviews the theories related to the market reaction of plasticizer events and prohibition events, as well as the related theories of investment value analysis of listed companies. Three major research hypotheses are put forward: first, the cumulative abnormal income of plasticizer event is negative; second, the cumulative abnormal income of prohibition event is negative; third, plasticizer event and prohibition event cause the purchase and holding abnormal rate of return to decrease. In this paper, the stock price index data related to liquor industry are collected. By means of event study method, by dealing with statistical tools such as excel and SPASS, combined with market model and market adjustment model, the cumulative abnormal income car value is calculated respectively) and T test is carried out. Comparing the two results, the study found that after the plasticizer event and the prohibition incident, the listed liquor companies appeared a significant negative market reaction, which verified hypothesis 1 and hypothesis 2. In this paper, the plasticizer event and the prohibition of alcohol events together for long-term and short-term analysis, It was found that the short-term effect of plasticizer events on the investment value of listed liquor companies was greater than that of prohibition. And over the long term, by calculating the purchase and holding abnormal rate of return (BHAR), we found that plasticizer events and prohibition events led to a decrease in the purchase and holding of abnormal rates of return, thus validating hypothesis 3.This shows that the value of its investment continues to decline. For short-term investors, investment advice is to sell stocks. Finally, this paper summarizes the relevant research conclusions, combined with the research conclusions, proposes that to achieve healthy and sustainable development of the liquor industry, we must start from ourselves. On the basis of this, some suggestions on the development of liquor industry are put forward.
【學(xué)位授予單位】：南京財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F426.82;F832.51

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