投资者有限关注与并购重组事件的停牌效应

摘要

The reaction of current period and the last periods of individual share was analyzed based on the theory of "limited attention",taking postings on the Gub as an attention index of investors to inspect the suspension effect of acquisition and reorganization and effectiveness of information spreading.Empirical results showed that suspension significantly enhanced circulation of market information,relieved the fluctuation of share price of listed companies caused by acquisition and reorganization,that is the attention of investors and its share price fluctuation on resuming trading date during a suspension period.At the same time,the more postings during a suspension,the higher attention of investors.Their motivation of holding relevant shares will be more and rate of return of individual share will be higher.In addition,it was found that there were leakage of information on the acquisition and reorganization in listed enterprises a week before suspension, and there were significant returns.These findings are beneficial to optimization on decisions related to sus-pension of listed enterprises,and they have a positive significance on the relevant investment decisions of investors and information disclosure of supervision department about acquisition and reorganization.%基于认知心理学的"有限关注"理论,以股吧发帖量数据作为投资者关注度指标,针对个股当期和滞后一期的反应进行了分析,检验了并购重组事件中的停牌效应和信息传播有效性.实证结果表明,停牌显著增加了市场信息的流通,缓解了并购重组重大事件对上市公司股价造成的波动,即停牌期间投资者关注度与其复牌日股价波动成反比.同时,停牌期间发帖热度越高,投资者关注度越高,其持有相关股票的动机越大,个股回报率越高.此外,上市公司并购重组事件停牌前一周内存在信息泄漏问题,有显著的异常收益.这些发现有利于优化上市公司相关停牌的决定,对投资者的有关投资决策和监管部门对并购重组的信息披露有积极意义.