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本文采用市场收益模型和三因素模型,研究我国上市公司股权分置改革所产生的市场效应,分析了股权分置改革前后所产生的累积非正常收益和影响因素。研究表明,股权分置改革改前后累积非正常收益呈先上升后下降趋势,在所研究的事件期间市场风险对累积非正常收益具有最为显著的影响,股权分置改革后流通股比例对累积非正常收益有一定的影响,而对价支付比例对累积非正常收益没有显著影响。
This article uses the market return model and the three-factor model to study the market effect of the share-trading reform in China’s listed companies and analyzes the cumulative abnormal returns and influencing factors before and after the share-trading reform. The research shows that the cumulative abnormal returns before and after the reform of non-tradable share reform first and then decrease, the market risk has the most significant impact on the accumulated abnormal returns during the period studied, and the proportion of tradable shares after the non-tradable share reform has a positive impact on the cumulative non-cumulative The normal return has a certain impact, while the payment of the consideration has no significant effect on the cumulative abnormal return.