Risk Pricing Research Of Listed Companies In The Wide Event Window

Risk asset pricing of listed companies in the wide event window has always been the most attended issue in capital market. A scientific and reasonable evaluation of the log return of stock and risk level of listed companies in the wide event window will provide reference for investors to make a proper choice of the listed company. Current theory and method are used to evaluate risk asset pricing for listed companies in a general way, on the premise that the capital market is effective. Therefore, when a financial event or an unexpected event happens, here rises a new problem, that is, there exists a obstacle to evaluate and describe the risk and return level for listed companies during a period before and after the financial event. Thus, it is difficult to evaluate risk asset pricing for listed companies in the wide event window. Therefore, this paper develops a new theoretical idea of evaluating risk and return level of listed companies in the wide event window in order to solve above problems. Furthermore, asset pricing is the core of Financial Economics. In developed countries, asset pricing theory and empirical tests have become a well-developed system. The purpose of this paper is according to the foundation of using overseas theory system to try to constract asset pricing models and deriving some useful results by using the data from Chinese stock market. Thus we can know the asset pricing models more and apply them to else stock market.This paper selected two representative corporations in the wide event window, one is Angang corporation, the other is China petrifaction corporation .The contents of this paper could be divided into four parts. Firstly, we introduced current situation of the reform of stock and actualities of China and oversea, Secondly, we gave knowledge about the models widely used in Analysis of Financial Time Series, especially GARCH models, which paved way for further study; Thirdly, we respectively set up adequate GARCH models for the log return series before and after overall listing of Angang corporation and before and after corporations'reformation of China petrifaction. And made a comparison on the average risk level between the two periods, we conclude the risk and return levels of Angang corporation have a great extent increase, but return level of log return of stock is higher than risk level, this explains Angang overall listing reformation plan is more reasonable in the stock market. However, the risk and return levels of China petrifaction corporation have a great extent decrease, but risk level declines more great, this explains China petrifaction corporation dues to complete reformation time is short, reformation is not mature, that needs more perfect. Lastly, we employed empirical test of CAPM in China Shanghai's stock market. We conclude that Shanghai stock market is not mature and the relation between investment risk and return of Shanghai stock market falls short of CAPM conclusions。...