China's Market Reaction Of "Cancel ST" And Research On Its Influencing Factors

ST means "special treatment." The listed company dubbed ST prefix means that they have infinancial problem or serious problems in other areas of corporate governance. ST shares is a unique phenomenon in China..This paper is to study the market reaction of "cancel ST" through event analysis. Then we use multiple linear regression to find which have a significant impact and the effect of the different levels of different variables.We find that:(1) From the nature of the enterprise, the actual control of the SASAC, the central or local government enterprises excess return is higher than the actual control over the non-unit;(2) From the market environment, the excess return of a bull market environment is the highest, the excess return of a bear market environment is the lowest;(3) From a market point of view, excess returns of the stocks which belongs to the Shanghai Stock Exchange is higher;(4) From the industry point of view, the excess return rate of high value-added industry stocks is higher.In the overall sample:(1) Whenever PE increased by 1, the excess rate of return will increase 0.0017 percent. This suggests investors have a greater preference for such enterprises which has a higher PE.(2) The book value increased by 1, the excess rate of return will increase 0.0039 percent; this indicates that investors are still have certain requirements about the company's fundamentals;(3) If the enterprise belongs to high value-added industries, we will get additional 4.81 percentage excess return;(4) Bull and Bear is the biggest indicators of the impact of the excess rate of return.(5) The state-owned enterprises are more attractive to investors than private enterprises;(6) The share price increased by 1, will result in cumulative excess yield fell 0.50 percentage points. This indicates that with the stocks'price rise, declining attractiveness for investors.