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以中国沪、深两市186只A股为研究对象,从M&M定理这一新的思考角度出发,采用事件研究法分析股权分置改革的市场效应。研究将所有样本股分为两个批次来比较分析,发现样本股的第一个批次股票进行股改时其市场影响并不是很大,平均异常收益率表现为在零值附近随机波动,基本符合M&M定理关于股本结构不改变公司资产增值能力的论断;而样本股的第二个批次股票进行股改时平均异常收益率起伏明显,尤其是在事件日出现了突增的现象,不再符合根据M&M定理推测的结果。
Taking 186 A-shares of Shanghai and Shenzhen stock markets as the research object, from the perspective of M & M theorem, this article uses the event research method to analyze the market effect of the share-trading reform. The study divides all sample stocks into two batches for comparative analysis and finds that the market impact of the first batch of stock samples is not significant when it carries out stock reform. The average abnormal return rate shows random fluctuation around zero value. The basic In line with M & M theorem on the capital structure does not change the company’s ability to increase the value of assets; and the second batch of shares of the stock reform of shares when the average abnormal yield fluctuations significantly, especially in the event of a sudden surge phenomenon no longer coincides According to M & M theorem presumed the result.