Study Of Holistic Listing Stocks' Abnormal Return And Its Influencial Factoes

After the stock reform, many holistic listing stocks gained surprising rate of return right after the information disclosure, which became the focus of the stock market.This thesis analyzed the main factors influencing the holistic listing stocks'abnormal return based on the two different approaches. Private placements approach and stock-for-stock merge approach are the two usual holistic listing approaches after the stock reform, which are making the"asset and equity exchange"and fundamentally different from the"asset and cash exchange"that often used before the stock reform. This thesis builds up the key-factors model and the game model between the big and small shareholders. The issuing price of private placement, the valuation of injected assets and its earning power are the key factors impacting the holistic listing stocks'abnormal return; the rational shareholders should choose the time that the listed company is undervalued to carry out the holistic listing, which also in line with the small shareholders interests. However, the big shareholders that pay more attention on the short term interests will choose the bull market time to make the holistic listing, which is much more close to the reality. The synergy created in the holistic listing process is the basis of the abnormal return while the big and small shareholders'interests are derived from the value of the synergy. However, Big and small shareholders'interests are conflicted with each other on the issuing price of private placement and the valuation of injected assets.This thesis uses the event study method to investigate the abnormal return from two dimensions such as different approaches and different actual controllers. The holistic stocks could gain the abnormal return during the short time before and after the information disclosure. The abnormal return gained by the stock-for-stock merge approach is higher than that of the private placements approach while the main reason is the relative scale of the injected assets. The volatility of the private placements approach's abnormal return is lower than that of the stock-for-stock merge approach, indicating that the stock market's pricing of this approach is faster and more efficient. The abnormal return gained by the private owned enterprise is higher than that of the state owned enterprise and the local government owned enterprise while the main reason is the earning power of the injected assets. The scale of the injected assets is the main factor influencing the abnormal return. The abnormal return gained before the information disclosure reminds the supervisors strengthen the supervision.This thesis analyzed four holistic listing companies, although they have different characters, the key factors could be used to interpret the abnormal returns.