【摘要】：上市公司股價(jià)“暴漲暴跌”是一個(gè)全球性的金融現(xiàn)象，相比資本市場發(fā)達(dá)的國外，我國股市的暴跌現(xiàn)象更加頻繁，僅在1997到2008年11年期間，我國股市就經(jīng)歷了四次大的暴跌現(xiàn)象，發(fā)生暴跌的平均時(shí)間為22.5個(gè)月，，平均跌幅為51.65%，最暴跌幅為80.3%，個(gè)股的暴跌現(xiàn)象更是司空見慣（騰泰等，2008）�！氨┑爆F(xiàn)象所帶來的股價(jià)暴跌風(fēng)險(xiǎn)（stock price crash），巨大地沖擊和破壞資本市場健康發(fā)展和投資者個(gè)人財(cái)富，因而備受監(jiān)管者、投資者和學(xué)術(shù)界關(guān)注。近年來，伴隨著金融危機(jī)的爆發(fā)，“股價(jià)暴跌風(fēng)險(xiǎn)”已經(jīng)成為宏觀經(jīng)濟(jì)與微觀財(cái)務(wù)學(xué)的熱點(diǎn)研究問題。特別是在當(dāng)前我國經(jīng)濟(jì)取得快速增長而金融風(fēng)險(xiǎn)和脆弱性逐漸積累的情況下，研究該問題對于規(guī)避我國資本市場金融風(fēng)險(xiǎn)和實(shí)現(xiàn)我國股市穩(wěn)定發(fā)展有很大的理論和現(xiàn)實(shí)意義。 本文選取了2003-2011年滬、深A(yù)股上市公司相關(guān)數(shù)據(jù)為研究樣本。首先，本文從經(jīng)營現(xiàn)金流（OCF）信息含量與股價(jià)暴跌風(fēng)險(xiǎn)是否有負(fù)相關(guān)關(guān)系入手，采用Gu et al.(2005)的2種方法度量經(jīng)營現(xiàn)金流信息含量，調(diào)查經(jīng)營現(xiàn)金流在股價(jià)暴跌上是否有預(yù)測作用，研究發(fā)現(xiàn)經(jīng)營現(xiàn)金流信息含量增多，股價(jià)暴跌風(fēng)險(xiǎn)降低。其次，在研究經(jīng)營現(xiàn)金流信息含量與股價(jià)暴跌風(fēng)險(xiǎn)負(fù)相關(guān)關(guān)系的基礎(chǔ)之上，加入機(jī)構(gòu)投資者持股比例與經(jīng)營現(xiàn)金流信息含量的交叉項(xiàng)，以研究機(jī)構(gòu)投資者持股比例的提高是否有利于增強(qiáng)經(jīng)營現(xiàn)金流信息含量與股價(jià)暴跌風(fēng)險(xiǎn)負(fù)相關(guān)關(guān)系，研究發(fā)現(xiàn)機(jī)構(gòu)投資者持股比例越高，股價(jià)暴跌風(fēng)險(xiǎn)與經(jīng)營現(xiàn)金流信息含量的負(fù)相關(guān)關(guān)系增強(qiáng)。
[Abstract]:"soaring and plummeting" stock price of listed companies is a global financial phenomenon. Compared with foreign countries with developed capital markets, the stock market plummeting in our country is more frequent, only in the period of 1997 to 2008 11 years. China's stock market has experienced four big plummeting phenomena, the average time of the collapse is 22.5 months, the average decline is 51.65, the most violent drop is 80.3, the decline of individual stocks is more common (Teng Tai et al. 2008). The "plummeting stock price" phenomenon brings about the risk that (stock price crash), will greatly impact and destroy the healthy development of capital markets and the individual wealth of investors, so it has attracted the attention of regulators, investors and academics. In recent years, with the outbreak of financial crisis, "the risk of stock price collapse" has become a hot issue in macroeconomic and micro-finance. Especially under the circumstance of rapid economic growth and gradual accumulation of financial risks and vulnerabilities in our country, it is of great theoretical and practical significance to study this problem for avoiding the financial risks in China's capital market and realizing the stable development of China's stock market. This article selects 2003-2011 Shanghai, Shenzhen A-share listed companies related data as research samples. First of all, starting with the negative correlation between the (OCF) information content of operating cash flow and the risk of stock price collapse, this paper uses two methods of Gu et al. (2005) to measure the information content of operating cash flow, and to investigate whether the operating cash flow can predict the stock price collapse. The study found that the information content of operating cash flow increased and the risk of stock price plummeting decreased. Secondly, on the basis of studying the negative correlation between the information content of operating cash flow and the risk of stock price plummeting, we add the cross term between the proportion of institutional investors' shareholding and the information content of operating cash flow. To study whether the increase of institutional investors' shareholding ratio is beneficial to increase the information content of operating cash flow and the risk of stock price plummeting, it is found that the higher the proportion of institutional investors' holdings is, The negative correlation between the risk of stock price collapse and the information content of operating cash flow is enhanced.
【學(xué)位授予單位】：新疆財(cái)經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51;F830.42

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