【作者】 王晔；

【导师】 方先明；

【作者基本信息】 南京大学 ， 金融学， 2019， 硕士

【摘要】 上市公司的违规行为类型众多,包括信息披露虚假、业绩预测不准确、破坏环境、违规减持、内幕消息泄露等;违规主体包括上市公司本身、股东、控股公司、参股公司、其他关联方等。公司违规行为一方面可能直接损害到中小股东的利益,另一方面将增加自身的信用风险,加大融资难度,从而降低投资者信心,导致股价的下跌。无论上市公司违规主体是谁,违反何种法规,最终受害的都是中小投资者。上市公司的违规行为可能会给金融市场带来较大的负面影响,所以研究上市公司违规行为的特征和属性,了解上市公司违规受处分事件对于股价的具体影响,具有重要意义。现有文献的研究视角主要集中在探讨上市公司违规行为的原因和长期影响方面,而利用互联网用户原创内容作为代理变量,研究违规事件引起的投资者关注度提高对于股价的影响则较为罕见,所以本文旨在通过研究发现:股价对上市公司违规受处分事件具体如何反应,并且从投资者关注度的角度研究了违规受处分事件影响股价的机理。基于现有研究,论文采用事件研究法详细地描述了上市公司违规事件及股价变动。第一步,对所搜集的样本开展描述性统计,了解样本在各项属性上的分布情况以及时间上的变化趋势;第二步,划分事件估计期和窗口期,计算窗口期内样本的每日平均超额收益率以及累计平均超额收益率,并检验是否显著为负;第三步,对整体样本进行分组检验,分别按照违规属性不同类型进行分组,每次分组之后对两个组分别重复第二步的研究,并且对两组之间的差异进行检验。在确定窗口期内违规受处分事件对股票超额收益率的影响之后,为了深入探究股价对违规受处分事件的反应,本文从投资者关注度提升的角度切入,研究违规受处分事件发生所引起的投资者关注度提升对于股价的影响。本文在比较了多个互联网平台之后,最终选择东方财富股吧获取所需数据,利用python网络爬虫技术获取到违规事件发生前后股吧相关数据,构建股吧热度异动率指标作为违规事件发生后投资者关注度提升的代理变量。在获取股吧数据之后,以违规事件当事公司第二天股价的超额收益率为被解释变量,当天投资者关注度变化为解释变量,添加违规事件相关指标以及股票量价指标作为控制变量,进行多元回归分析,研究违规事件发生后投资者关注度变化是否对第二天的超额收益率存在显著的解释能力。得到的结论如下:第一,上市公司违规事件对于公司股价存在显著影响,在事件窗口期内的累计平均超额收益率显著为负。第二,在对样本分组之后,有两个标准会显著影响结果的差异,分别为是否受到罚款以及是否由证监会做出处罚,以上述两个标准分组之后两组之间的均值差异是显著的。第三,违规事件公告当日投资者关注度的提升对于第二天的股价超额收益率存在显著的负面影响。基于上述结论,本文分别从中小投资者、上市公司、监管机构自身的角度提出了政策建议,建议监管机构重点关注违规事件发生后网络舆论的异常变化。更多还原

【Abstract】 There are many types of violations of listed companies,including false information disclosure,inaccurate performance prediction,environmental damage,illegal reduction,and insider information disclosure.The violations include listed companies themselves,shareholders,holding companies,shareholding companies,and other related parties.On the one hand,corporate violations may directly harm the interests of small and medium shareholders.On the other hand,the company’s illegal behavior will increase its own credit risk and increase the difficulty of financing,thereby reducing investor confidence and leading to a decline in stock prices.Regardless of who the listed company violates,and what regulations are violated,the ultimate victims are small and medium investors.The violations of listed companies may have a huge negative impact on the financial market.Therefore,it is of great significance to study the characteristics and attributes of corporate violations and to understand the specific impact of listed companies’ violations on stock prices.The research perspective of the existing literature mainly focuses on the reasons and influences of corporate violations,and the use of Internet user-originated content as a proxy variable to study the impact of investor attention on the stock price caused by violations is rare.Through the research,it is found that how the stock price reacts to the violation of the listed company’s violations and how the investor’s attention affects the stock price after the violation.Based on the existing research,the paper uses the event research method to describe in detail the violations of listed companies and their stock price changes.The first step is to carry out descriptive statistics on the collected samples,to understand the distribution of the samples on various attributes and the trend of changes in time;the second step is to divide the event estimation period and window period,and calculate the sample period for each window.Daily average excess return rate and cumulative average excess return rate,and test whether it is significantly negative;the third step is to group test the whole sample,group according to different types of violation attributes,and repeat the two groups after each grouping.A one-step study and testing for differences between the two groups.In order to determine the impact of the violation of the disciplinary event on the stock excess return rate,in order to refine the stock price response to the violation of the disciplinary action,this paper cuts in from the perspective of investor attention,and studies the investment caused by the violation of the disciplinary incident.The impact of increased attention on stock prices.After comparing several Internet platforms,this paper finally selects the Oriental Wealth Stocks to obtain the required data,and uses python web crawler technology to obtain relevant data before and after the violations,and builds the stocks’ heat transfer rate index as the investor’s attention after the violation.Promoted proxy variable.After obtaining the stock data,the excess return rate of the company’s stock price on the second day of the violation event is the explanatory variable.The investor’s attention change is the explanatory variable,the violation event related indicator and the stock price index are used as the control variables.Multiple regression analysis to investigate whether the change in investor attention after the violation occurred has a significant explanatory power for the next day’s excess return.The final conclusions of this paper are as follows:First,the corporate violations have a significant impact on the company’s stock price,and the cumulative average excess return during the event window period is significantly negative.Second,after grouping the samples,there are two criteria that will be significant,whether the penalty is imposed and whether the SFC has imposed penalties.The difference between the two groups after the above two criteria is significant.Third,the increase in investor attention on the day of the violation announcement.There is a significant negative impact on the stock’s excess return on the second day.Based on the above conclusions,this paper proposes policy recommendations from the perspectives of small and medium investors,listed companies,and regulatory agencies.It is recommended that regulators focus on the abnormal changes in network public opinion after the occurrence of violations.更多还原