文献类型：期刊文献

中文题名：ST公司主动戴帽和市场操纵行为研究

英文题名：Intentionally Initiative Special Treatment and Market Manipulation of ST Companies

作者：金永红[1];韩立岩[2];陆星忠[1]

机构：[1]华东理工大学商学院,上海200237;[2]北京航空航天大学经济管理学院,北京100191

年份：2015

卷号：28

期号：4

起止页码：97

中文期刊名：管理科学

外文期刊名：Journal of Management Science

收录：CSTPCD;;国家哲学社会科学学术期刊数据库;北大核心:【北大核心2014】；社科基金资助期刊;CSSCI:【CSSCI2014_2016】；

基金：上海市社会科学基金(2014BJB005);中央高校基本科研业务费专项资金(222201422030)~~

语种：中文

中文关键词：ST公司;主动戴帽;市场操纵;超额收益;可操控性应计利润

外文关键词：ST companies ;intentionally initiative special treatment; market manipulation ; excess earnings; discretionary accrual

摘要：中国从1998年开始对连续亏损2年的上市公司实施特别处理(ST)制度,由于ST公司具有在戴帽时股价下跌而在摘帽时股价上涨的一般规律,是否会有部分公司利用ST制度及其股价规律主动戴帽以谋取超额收益受到学者关注。采用2001年至2012年戴帽的公司的财务数据和股价数据,运用非预期应计利润法和事件研究法,探讨是否存在部分公司通过主动ST获取超额收益的行为。定义并识别一类利用盈余管理调减可操控性应计利润而主动ST的公司为主动戴帽公司(样本组),采用事件研究法对样本组的超额收益率进行分析。研究结果表明,样本组公司存在显著负超额收益率,在摘帽时则存在显著正超额收益率。在整个戴帽期间,样本组公司平均累计超额收益率显著为正,说明样本组公司确实有通过主动戴帽行为操纵市场以获取超额收益的动机。研究结果不仅丰富了已有的公司金融和财务管理研究,也为监管部门填补政策漏洞提供了新的视角。
The policy of special Treatment （ST） had been put into effect from 1998 in China. Since there is a general rule that the stock prices of ST companies decrease during the initiation of ST and increase during the removal of ST. It is doubtful whether there are some listed companies to initiate ST intentionally to seize excess earnings by taking advantage of the movement of the stock prices of their companies. Using the financial data and transaction data of ST companies which intentionally initiated ST during the period from January 2001 to December 2012, and adopting unexpected accruals model and event study method, this paper explores whether there is some ST companies obtaining excess earnings by initiating ST intentionally and then removing ST. Based on the unexpected accruals model, this paper studies earnings management of the specially treated companies between Jan- uary 2001 and December 2012 which are removed the title of ST in 3 years and before 2012. And the paper selects the ST com- panies which reduce discretionary total accruals before the year of removing the title of ST. All of these ST companies are defined as sample groups in this paper. By mainly using event study, this paper investigates the return of sample groups. It shows that when specially treated, ST companies of sample groups gain significant negative abnormal return. Yet when removed the title of ST, ST companies of sample groups obtain significant positive abnormal return. While during the whole period of special treat- ment, their positive abnormal return is significantly remarkable. The measures taken by the sample ST companies to intentionally initiate ST are all of earnings management. And viewing from the industrial distribution of these sample ST companies, this kind of intentional initiation of ST exists in every industry. It means that ST companies of sample groups manipulate the stock prices of their companies by intentionally initiative special treatment so as to get abnormal return. Therefore, this paper advises that, the criterion to judge whether a listed company ought to be ST should be refined and rigorous. The absolute value of net profit can not be the only criterion, and some accounting terms that are easily manipulated by listed companies to carry on earnings management should be taken into account as well. The findings of this paper not only enrich the literature on corporate finance and financial management, but also provide a different view for market regulators to fill some gaps of the policy on ST systems.