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本文运用事件研究法,通过计算我国股票市场刊登过高管落马公告的样本公司在公告日前后的超常收益来验证市场对该事件的反应,从而检验上市公司高管落马公告是否具有财富效应。实证结果显示,高管落马公告具有显著负的财富效应,公告日当天最为明显。分类研究的结果表明,高管落马事件对沪市、深市和创业板公司的股价影响有所不同,小公司股价受高管落马事件的负面影响更大。
This article uses event research method to verify the response of the market to the incident by calculating the extraordinary returns of the sample companies in the stock market of our country lodged a notice of disappointment before and after the announcement day so as to test the wealth effect of the announcement of the failure of senior executives of listed companies. Empirical results show that the announcement of executives falling significantly negative wealth effect, the day of the announcement the most obvious. The results of the classification study show that the impact of the loss of senior executives on the stock prices of Shanghai, Shenzhen and GEM companies is somewhat different. The share price of small companies is more negatively affected by the loss of senior executives.