| This thesis studies the short-term and long-term effect of material asset reorganization on share prices empirically by using events disclosed during 2011 to 2014 and those disclosed during 2011 to 2012 respectively. In this thesis, special computation method is designed to describe the effect on share prices based on the characteristics of supervision system on material asset reorganization for Chinese listed companies. In the short run, positive abnormal returns could be acquired for several days after the first disclosure of the reorganization event. Especially, the abnormal return for related transactions is significantly higher than that of non-related transactions and the abnormal return for back door listing is significantly higher than that of normal material asset reorganization. The difference on the disclosure times of the event, the result of the trade and the listing sector may not affect the abnormal return significantly. For the events with multi-period information disclosure, the abnormal return may be negative after the second disclosure. Hence, the cumulated abnormal return turns to be negative. In recent years, the stock market and the supervision environment of the listed companies changed significantly in China. The material asset reorganization shows unique characteristics in the certain year. Thus, the abnormal return level mentioned above differs by the year of the event. Because of the compensation on the expected return of the trading halt period before the information disclosure, the more rapid the market rises, or the more volatile the stock is, the less the abnormal return remains. In the long run, after the material asset reorganization being executed, the relative valuation level, compared to the average ratio of the industry, trends to be decreased. Hence, the investor could only acquire abnormal return after the first disclosure of the material asset reorganization event. |
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