An Empirical Study Of Placard Effects In China's Securities Market

Since 2015,a lot of listed companies have been placarded in China's securities market,placard announcements and subsequent boom of target companies' stock prices caused a large number of investors' attention.Based on reviewing domestic and foreign literature on the wealth effect of the placards events,this paper uses event study approach to conduct empirical research on the wealth effect of placard events that happened in 2015-2016 in China's securities market.Under assumptions of non information advantage and relatively short holding period of small and medium investors,the selected event window is a [0,30]-day-long period after the placard announcements date,the study will examine the average cumulative abnormal returns to shareholders of placarded listed companies.The empirical result suggests that there is significant wealth effect of placard events in China's securities market.On this basis,we separate the data into subgroups according to the market value,price-earnings ratio and price-book ratio,more abnormal returns are found in the small-cap and low price-book subgroups,however,low price-earnings subgroup did not show significant advantage.