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股价对“好”信息的提前反应,其实质是特定的公司治理结构中代理人的道德风险行为(泄漏消息)作用于股票市场的结果。治理结构的天然差异,导致了国有控股公司高管在行为决策上相对民营控股公司,更倾向于泄漏利“好”信息。论文选取国有、民营两类高送转公司样本,首先在CAPM模型滚动预测的基准收益率基础上,计算和比较两类样本的异常收益率和累积异常收益率;其次,运用多元回归模型,在控制其他影响因素的条件下分析累积异常收益率和产权结构之间的关系;再次,采用添加虚拟变量的面板CAPM模型,对比分析两类公司在信息公告日附近的股价趋势改变效应上的差异;最终验证了国有控股公司比民营控股公司更容易泄漏利“好”信息的结论。
The early reaction of the stock price to “good ” information is essentially the result of the moral risk behavior (leakage information) acting on the stock market of the agent in a particular corporate governance structure. The natural differences in governance structure have led to the fact that executives of state-owned holding companies are more likely to disclose information about “good” behavior than their private counterparts. In the paper, two samples of state-owned company and non-state-owned company were selected. First, the abnormal return rate and cumulative abnormal return rate of two types of samples were calculated and compared on the basis of the benchmark rate of return of CAPM model. Secondly, by using multiple regression model, The paper analyzes the relationship between cumulative abnormal return and ownership structure under the control of other factors; Thirdly, using panel CAPM model with dummy variables to compare and analyze the difference of the stock price trend change effect between the two companies near the information announcement day; Finally, it verifies that state-owned holding companies are more likely to leak information of “good” than private holding companies.