Analysis Of Different Responses Of State-owned And Private-owned Listed Company’s Share Price To "Good" News

The finance theory (MM Theorem) believes that it takes no difference in the impact on shareholders for listed companies choosing cash dividends or stock dividends.High Bonus refers to relatively high proportion of bonus shares or capitalization of capital reserve, and the essence of High Bonus is the internal structural adjustment in Stockholder Equity, without any substantial impact on ROE and profitability of the company, what’s more,it will not bring any cash return to investors directly.But in China’s stock market,investors believe High Bonus usually pass positive signal-high growth of companies in the future-to the marketAt the same time, the pursuit of stock market will also push up stock prices, then investors can acquire benefits. Thus, for a long time, High Bonus of listed companies are taken as a major "good" news.Investment experience have found interesting phenomenon. There are two listed companies-state-controlled and private holdings-in stock markets in the same industry:the two listed companies implement High Bonus of the same proportion in the same year.the stock prices had a significant response before the announcement,showed abnormal returns(AR) in several trading days before the announcement, and the two listed companies reacted obviously different. The state-owned company had a response earlier,lasting longer,higher degree of abnormality than private-owned company.Is this stock market phenomenon of investment experience universal?The problem needs empirical research that found the two types of sample which have sent High Bonus in the history, using statistical methods to prove the phenomenon.The essence of stock price reacting ahead of time towards "good" news is the result of corporate agent’s moral hazard behavior, with specific corporate governance structure, acting on the stock market. The natural differences of governance structure cause that executives’ behavior decision in state-owned companies tend to leak "good" news compared to the private-owned companies. Firstly, on the base of rolling CAPM model to forecast benchmark rate of return, we calculate and compare the abnormal return and cumulative abnormal return of two kinds of samples, state-owned companies and private-owned companies having sent a high; Secondly, using multiple regression model, we analyze the relationship between cumulative abnormal return and ownership structure under the condition of controlling other factors; Thirdly, using panel data CAPM model adding dummy variable, compare and analyze the differences of stock price trend changing effect near the event announcement between two types of companies; Finally, we verify the conclusion that it’s easier for state-owned companies to leak "good" dividend news than the private-owned companies.Compared with the existed research,innovations of this paper are mainly manifested in two ways-empirical research ideas and methods.This paper consists of five parts. Among these five parts, the fourth chapter is the core part,the finance explanation of empirical studies and results finally verify that it’s easier for state-owned companies to leak "good" dividend news than the private-owned companies.