중국주식시장에서 자사주 매입에 따른 시장반응에 관한 연구 / The market response of share repurchases in the China stock market
- Resource Type
- Dissertation/ Thesis
- Authors
- 왕적
- Source
- Subject
- Language
- Korean
This paper selects 115 Chinese listing companies as study objects which perform stock repurchase during 2012 to 2016. The effect of stock repurchase on market response and the reason of stock repurchase for firms are analyzed. The event study method is used to analyse the abnormal return. As results, we found that the stock repurchase announcement lead significant positive the abnormal return statistically. Moreover, the positive abnormal return appeared around the ninth day before the event day. Therefore, referring to the market response to stock repurchase announcement in Chinese stock market, we could conclude that the information of stock repurchase might already released before the event day to the market. Small firm effect was also confirmed in this paper. Empirical study is also applied to analyze the effect of split-share reform on the market. This study found that split-share reform and stock repurchase announcement would bring negative inferences on the market. The results based on multi-factor regression method showed both B/M and LEVER of variables had significant positive coefficients. This study showed that stock repurchase was exercised to improve firms’ value before the event day. Thus we suggest that the government needs to control the information disclosure strictly.