投資公告的市場反應

摘要：本文以滬深兩市2007-2009年發布的897個投資公告為樣本，首次研究中國資本市場對新發布的投資公告的反應。我們發現市場會對新發布的投資公告持負面的態度，一定程度上反映出中國機構投資者的短期導向策略。但是，市場會給予過度投資企業發布的市場公告以更低的評價。可見，中國上市公司的投資效率問題得到了市場的重視。

關鍵詞：投資公告 市場反應 投資效率

Introduction

The decision of investment will definitely bring a big shock to the statement of cash flow in a certain period. If the market is efficient， the stock price will adjust to the change of the cash flow. Since the first empirical study from McConell and Muscarella in 1985， foreign scholars start a series research on market reaction to investment announcements in foreign capital market. However， generated from the restructure of state-owned enterprises， the Chinese securities market has a unique capital environment. In this paper， we aim to take a preliminary analysis on stock market response to the corporate investment.

Literature review

The scholars start their study from two basic directions. On the one hand， they inspect the market reaction to the investment. Grounded on the American capital market， McConell and Muscarella(1985) find a positive abnormal return when issuing the investment announcements (CAR=1%). Parallelly， Brailsford (2004) and Kim et al. (2005) have tested the stock market in Australian and South Korean respectively， verifying the similar results. However， using the data from British security market， Burton(1999) can’t find obvious abnormal response from investors.

On the other hand， many people explore the diversity of market reactions to different investment announcements. Saeed Akbar(2008) divided the investments into four categories according to the purposes， finding that the investment for the equipments and plants will acquire more positive reaction. With the merge announcements， Lang(1991) apply the tobin Q and free cash flow as two-dimensional variables to divide the notices and discover that the group with the low tobin Q and high free cash flow receive the lowest abnormal return. Some other scholars verify that the joint investment can get a higher evaluation.

Theoretical background and hypothesis

According to the theory of Shareholders Value Maximization， the managers will make the decision in order to maximize the shareholders value in the constraint and incentive of a series of contracts and mechanisms. Especially in the market of asymmetric information， in order to release a positive signal， the company must maintain a high level of profitability and dividend rate so that they will only invest in the project bringing the positive NPV.

H1a(Theory of Shareholders Value Maximization): The market will give a positive reaction to the investment announcement.

According to the institutional investor theory， institutional investors are not long-term buyers and they have to achieve a certain performance standard in a short period. Otherwise， they will face the huge payment risk. Then if the company can’t keep the short-term profits， they will be out of the game.

H1b(Institutional Investor Theory): The market will give a negative reaction to the investment announcement.

According to the completely competitive market hypothesis， buyers and sellers are so enormous that they are the recipient of price， and the resource can flow freely. If there is any positive NPV project， other competitors can joint the market without any friction cost， so that the market will soon return Pareto Equilibrium.

H1c(Rational Expectation Theory): The market won’t give any obvious reaction to the investment announcement.

The companies with inefficient investment will acquire positive evaluation， because the market may believe they can raise enough money to invest positive NPV project. While the over-investment enterprises will be suspected to waste large amounts of cash flow on the low return project or event aim to build the “empire enterprise”， then they will face the negative response.

H2: the under-investment enterprise can get a higher evaluation of investment.

Data and Methodology

We use 897 new investment announcements from 2007 to 2009 as our samples and employ the event study in our research. We use the standard model to measure abnormal return:

(1) (2)

Where =abnormal return， =real return， =expected return， =market return.

We employ the following model to measure the level of investment(Verdi ， 2006):

(3)

INVt means new investment in year t; INV t-1，CFt-1，Growth t-1，Lev t-1，Size t-1，Cash t-1 respectively refers to the new investment， operation cash flow， growth opportunity， assets-liabilities ratio， size of assets and cash holding in year t-1.

If the regression residual>0， we define the sample as over-investment; If the regression residual<0， we define the sample as under-investment.

Results

From the table1， we can see the mean of CAR(-2，2) is 1.14%， significant at 1% level. This result means that the market make the negative reactions to investment announcement， verifying the institutional investor theory. In addiction， the CAR(-5，5) and CAR(-10，10) show the similar results.

Table 1 market reaction to investment announcements

*significant at 10%; **significant at 10%; ***significant at 1%，

Then we exam the T test on the CAR on two groups respectively (over-investment and under-investment). Simultaneously， we practice the statistics test on the difference of the CAR(-2，2) between these two groups. From table2， we find that the CAR of under-investment group is 0.59% higher than the over-investment， significant at 10%. This result verifies our hypothesis2.

Table2 market reaction to different types of corporates

Conclusion

Through the analysis of 897 investment announcements released from Shanghai and Shenzhen Stock Exchange， we find that the market will give the negative response to the investment decisions because of the short-sight behavior of the institutional investors. In addition， we have further found that the over-invest companies will get lower evaluation. To some extent， this phenomenon reveals that the efficiency of investment has cause the concern of Chinese capital market.

This paper firstly researches the market reaction to the investment announcements in the Chinese capital market， making a significant supplement to the international research of this direction.

References:

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