An Empirical Study On The Share Price Performance Of ST Companies

Special treatment system is for classifying the company that experiences serious financial trouble. Since 1998 Shenyang Materials Development CO.LTD listed as the first ST company, ST firm acted as particular role in china security market and many scholars get interested in study these firms.The purpose of this paper is to test ST company have abnormal return around ST designation, and to analyze the exactly duration of this abnormal return. We also build a game theoretical model to derive implications of our theory and then use data to test our theory.The dissertation includes six chapters as follows:Chapter 1: Literature Review. The chapter summarizes the current study on ST firm and comment on it. Then we propose the perspective of this paper, analyzing from long-run performance of ST price.Chapter 2: Summarizes and analyzes the general characteristic of ST company. That is appropriate scale of capital stock, Poor management, Heavy burden of debt and Active performance of share price.Chapter 3: Stat. Analysis on the cumulative abnormal return of ST company. We find that the ST firm that can remove ST label exist positive average cumulative abnormal return. The ST firm that can't remove ST label doesn't exit cumulative abnormal return.Chapter 4: Explain the cumulative abnormal return of ST company in theory. We argue that effective capital restructure can lead to abnormal return. Then we use a game theoretical model to derive implications of our theory. The cumulative abnormal return is positively related to the duration of effective capital restructure, the largest shareholder's shareholding and the degree of concentration of shareholding among other large shareholders, but is negatively correlated with the firm's leverage ratio.Chapter 5: Empirical study. We find the data partially support our theory. For the one-year ST company, our theory could explain the data well. We also find the cumulative abnormal return is positively related to changing core business and ROE. But for the two-year ST company, the regression result is not support our theory.Chapter 6: Give conclusions and suggestions for future research.