摘要:
通过观察股票市场收益率的变动,分析了2008年12月29日机电行业退税率调整对不同类型上市公司的影响效果。首先,对机电行业5类市场指数进行干预分析,实证显示此次政策调整对2009年以后机电各行业市场的日收益率有显著正影响。其次,运用两因素模型计算12月29日当天样本企业股票的异常收益率。最后,对样本企业实验分组,选取企业出口倾向和国际化程度等变量解释不同类型企业的异常收益率。结果表明,此次调整更有利于机电产品出口业务量大、业务趋于扩张的企业,并且相对市场力量型和相对非市场力量型的企业均获得经济利润,但前者获得的经济利润高于后者,揭示了出口退税率调整存在一定的政策偏离。
Abstract:
By researching on stock return fluctuation, this paper analyzes the influence on diffenent types of listed machinery and electrical companies by the export tax rebate adjustment Dec.29th, 2008. First, an intervention analysis on indices of five types of machinery and electrical markets demonstrates the adjustment has had dramatic positive influence on each market's daily stock return since 2009. Second, a two-factor model is utilized to calculate sample companies' Dec. 29th abnormal stock return. At last, companies are separated into groups;variables such as export propensity, internationalization degree, etc are taken to explain abnormal stock return of different company types. It is proven that companies with large export and potential export expansion benefit more. Meanwhile, companies with relative market power have higher profits, although companies without relative market power are also profitable. This reveals policy drifts exist in the rebate adjustment.
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