THE Advice To Supervisor Through The Analyze On The Abnormal Earnings Of Special Treated Shares

For stocks that have been special treat have risk and return that different from other stocks, it need special rules for regulatory. And other rules that are related to the ST stock will also make a big difference on it. Since1998, our country state that for stocks that have abnormal phenomenon, the Securities Regulatory Commission is entitled to execute special treatment. And through years’ practice, the rules have been modified many times. In order to standardize the reconstruction behave, the new rules policed recently change the behavior of ST stocks in a great way. At the same time, according to the <stock listing rules of Shanghai Stock Exchange (modified in2012)>, the special treated stock can return to normal for less strict condition. Research on the return and it’s changes because of the modify of rules can help the supervise to perfect it’s requirements on special treated stock.First, after refer to articles from both domestic and aboard, this article chooses the abnormal return to analyze characteristic of special treated stock. It uses the Annualized Cumulative Abnormal Return instead of the Cumulative Abnormal return as it was often used for the comparability in period.Second, the author takes both descriptive analysis and the multiple regression analysis and makes use of the event analysis and the multiple regression analysis. It consider the stock that have been special treated in year2007and year2008as the compared sample and analysis it’s risk and return characteristic in detail. By analysis samples after grouping, this article put forward some non-economic variables that might affluence the Abnormal Return. Then the stock special treated in2011will be compared with it, and the results show their abnormal return rely on different variables.The research shows that, the samples have a negative effect according to the publication of special treatment and negative rules’ change, but have a positive behave according to the publication of cancel special treatment. Besides, the descriptive analysis found that last time of special treatment, location of list, the different way of special treatment and different industry all have influence on the stock’s abnormal return. Though there isn’t any big difference on stock sample from2007and2008, samples from2011act in a total different way. At last, the multiple regression analysis conclude that:Abnormal Return of samples from2007and2008is mainly rely on variables related to reconstruction value:1. Stock value in market, the lower the value the more the AR;2. Quality of assets, the higher the quality the higher the AR;3. Changes in Net asset per share, when it was reduced because of issuing new shares during the reconstruction process, the AR will increase. Otherwise for samples from2011, the AR mainly come from variables related to the corporation’s performance and its growth potential:1. Net assets per share,, the higher the more AR;2. Sales in main business’s growth rate, the higher the growth rate the more the AR;3. Earning per share, when it was between (-1,1), it’s more affective in the market if the lower one improve it’s performance, so the lower one have a high AR; when it was between (-∞,-1), investor have a lower confidence on the lower one, the lower one have a lower AR.At last, according to the results of this research, combined with the phenomenon of China’s securities market, this article gives some advice to improve the supervise on the special treated stock.