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本文主要研究宏观经济政策变化是否对公司价值具有实质性影响。利用2004年宏观调控前后我国宏观经济政策的显著变化,构建“自然实验”框架,采用双重差分方法估计宏观调控对我国上市公司价值的影响程度。发现与国有公司和大公司相比,宏观调控使民营公司和小公司的价值下降幅度更大,所降低的幅度不仅具有统计意义上的显著性,而且具有经济意义上的显著性。研究表明,紧缩性的经济政策会在短期内显著降低公司价值。通过对超常收益率的稳健性检验,发现2004年的宏观调控中,民营化程度高的公司所受到的负面影响比小规模公司更大。
This paper mainly studies whether changes in macroeconomic policies have a substantive impact on the value of the company. Using the significant changes of China’s macroeconomic policies before and after macroeconomic control in 2004, this paper constructs a “natural experiment” framework and uses the double difference method to estimate the impact of macroeconomic regulation on the value of listed companies in our country. It is found that, compared with state-owned companies and big companies, macro-control makes the value of private companies and small companies decline more. The extent of the decrease is not only statistically significant but also significant in the economic sense. Research shows that tightening economic policies can significantly reduce firm value in the short term. Through the test of the robustness of extraordinary returns, it is found that among the macroeconomic controls in 2004, those with a high degree of privatization have more negative impacts than small-scale ones.