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以2003～2007年度被特别处理,而且截至2009年底撤销特别处理(摘帽)的A股上市公司为研究样本,运用短期事件研究法和长期事件研究法,详细分析了重组摘帽的股价效应情况。从短期事件研究法分析结果可知,投资者无论对整体样本还是对于按照年度、行业、交易所进行划分的各细分样本均做出了积极的反应。从长期事件研究法分析结果可知,摘帽当月长期持有超额收益为正(3.86%),且在1%水平显著,摘帽后的三年内股东财富水平下降了2.32%(均值),因此,从长期来看摘帽并没有给股东创造价值。
A-share listed companies with special handling (removal) were withdrawn from special investigation (2003-2007) by the end of 2009 as the research sample, the short-term event method and the long-term event research method were used to analyze the stock price effect . From the analysis of the short-term incident research method, we can see that investors have responded positively to the overall sample and the subdivision samples by year, industry and exchange. According to the results of the long-term incident research method, the excess long-term excess returns in the month of pick-up caps were positive (3.86%) and significant at 1%. Shareholders’ wealth levels in the three years after removing the cap dropped by 2.32% Taking the hat in the long run does not create value for shareholders.