The Market Reaction And Determinants Of Change Of Investment Project

This paper investigates 121 listed companies which change investment project of fund raised in Chinese stock market of 2004. Through calculate market abnormal return we find that there is generally a significant negative effect during the period of announcement, but it was insignificance when considering the every-day abnormal return during the process. According to the determinants regression analysis, conclusions are as follow: (1) if the diversion is supposed to be malignant, the market AR is relatively low; (2) The lower the AR the higher in proportion of the fund-raising change is; (3) the more progressive the performance is, the higher the market AR during the period of announcement is; (4) there is a significant negative correlation between the proportion of circulating stock and the announcement effect; (5)the performance of general stock market and the age of the listed companies have little to do with the announcement effect.We also study the IPO changes and SEOs changes, weekend announcement effect and non-weekend announcement effect, the difference of companies diverting funds raised in Shanghai and Shenzhen stock market. The regression results of this three change patterns did not have remarkable difference in average abnormal return, however, they indeed have different remarkable influence factors, which indicates that the focus of investors to the change announcements vary from each other.