Abstract: Taking ST(special treatment)companies in the years between 2004 and 2015 as the research sample, this paper explores the effect of canceling ST on firm value and stock price by using the methods of event study and difference-in-differences model. The empirical results show that the announcement of canceling ST could result in a significantly positive abnormal return. Moreover, part of the information content of canceling ST can be expected beforehand by the market and the stock prices would immediately react to the information, which suggests that China's stock market is a semi-strong-form efficient market. In addition, the empirical results of difference-in-differences model show that canceling ST has little significant effect on firm value. However, in particular, the event of canceling ST can significantly increase firms' market values as well as book values. These results are basically in line with the policy expectations of ST system. In order to alleviate the endogeneity problem, this study further includes control variables into the difference-in-differences model and employs the method of propensity score matching. Consequently, the empirical results are robust.

Key words: canceling ST, firm value, cumulative abnormal return, difference-in-differences, propensity score matching

摘要： 以2004~2015年的ST公司为研究样本,利用事件研究法和双重差分模型,研究了ST摘帽对公司价值和股价的影响效应。实证结果表明,摘帽公告可以引起显著为正的累计超额收益率。而且,摘帽的部分信息含量可以被市场提前预期到,并立即反应到股价上。因此,仅从摘帽信息的股价反应速度看,我国的股票市场是半强式有效市场。此外,双重差分的实证结果显示,ST摘帽对公司价值没有显著的影响。但是,具体而言,摘帽事件可以同时显著地提高公司的市值和账面价值。这些结果都基本符合ST制度的政策预期。为了缓解内生性问题,在考虑控制变量的影响和倾向值匹配后,双重差分的实证结果是稳健的。

关键词: ST摘帽, 公司价值, 累计超额收益率, 双重差分, 倾向值匹配