Research Into Performance Of Restructuring Public Company Based On Fama-French Three-Factor Model

The research on the performance of China's restructured listed firms, which discuss its concept and instinct in theory, analysis its background and mode in practice and try to find its problems in the view of development, is a very important topic with theory and actual sense. The performance of asset restructuring is a meaningful concept which can be analyzed from the aspect of the reaction of stock market and financial ratios. At the same time, the time span has direct impact on the results of the research. For example, the results of the performance analysis within one month and within one year are totally different. In this study, we will try to make full use of the advantages of Fama-French three factors model in event studies with long time span to analyze the performance of restructuring listed firm within one year.We will basis on event study and define the restructuring firms firstly. In this study, the performance of restructuring firm is the changing character of the excess return of the firm's stock after restructuring. Then we make a full introduction of FF model. Compared with the similar pricing models(CAPM model, APT pricing model), FF model can compute more accurate expected return of stock which is the basis of excess return of stock. This is the main reason that we choose FF model as our research instrument. After that, we analyze the result of regression, compute the expected return and excess return of the restructuring firm and show the excess return in scatter paragraph from which we can see the changing characters of excess return. These characters can reflect the irregular of China's restructuring listed firm. Restructuring has little effect on the value of restructuring firm within one year. In the end, we conclude the whole study and give some suggestions.