中国金融学术研究网

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Stock Prices in a Speculative Market: The Chinese Split-Share Reform

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发布日期：2009年05月13日上次修订日期：2009年05月13日

Andrea Beltratti andrea.beltratti@unibocconi.it Bocconi University Bernardo Bortolotti Università di Torino Marianna Caccavaio Bocconi University

摘要

In 2005-2006 China reformed its stock market by eliminating non-tradable shares. The regulator set general guidelines and then assigned responsibility for implementation to each company. We derive relations that should have been followed by the prices of stocks and exploit a company-level data set to compare the actual and the theoretical price reactions. We find evidence for abnormal returns both before the beginning of the reform and during the reform. Cross-sectionally, abnormal returns are associated mainly with turnover and compensation. This shows that in a speculative market, investors do not properly react to unambiguous corporate actions.

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关键词：

Speculation Chinese Stock Market Market segmentation Event study Market Efficiency

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