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金字塔型的股权结构一直以来都是学术界的一个热门话题。许多实际控制人往往通过构造金字塔结构隐藏自己实际控制人的身份,并实现对利益的攫取。本文从一个学术界在这话题中较少用到的方法——事件研究法入手,选取拥有金字塔结构的5家上市公司,再通过GARCH(1,1)的回归方程来模拟上市公司在事件期预期报酬率的变动,并对比预期报酬率与实际报酬率的关系,来分析实际控制人的变动会对金字塔股权结构的上市公司造成怎样的影响。最后得出结论,实际控制人的变动会在事件期的几天后造成上市公司股价的负向波动。
Pyramid-type ownership structure has always been a hot topic in academia. Many actual controllers often conceal their actual controller identity by structuring the pyramid structure and achieve the grabbing of interests. This article starts with the method of incident study, which is rarely used in this topic by academia. Five listed companies with pyramid structure are selected. Then the regression equation of GARCH (1,1) is used to simulate the listed companies’ Expectant rate of return, and compared the expected rate of return and the actual rate of return to analyze the changes in the actual controller of the pyramid ownership structure of listed companies how the impact. Finally, it is concluded that the change of the actual controller will cause negative fluctuations in the share price of listed companies after a few days in the event period.