[投资公告的市场反应] 国家食药监局网站官网

　　摘要：本文以沪深两市2007-2009年发布的897个投资公告为样本，首次研究中国资本市场对新发布的投资公告的反应。我们发现市场会对新发布的投资公告持负面的态度，一定程度上反映出中国机构投资者的短期导向策略。但是，市场会给予过度投资企业发布的市场公告以更低的评价。可见，中国上市公司的投资效率问题得到了市场的重视。
　　关键词：投资公告 市场反应 投资效率
　　Introduction
　　The decision of investment will definitely bring a big shock to the statement of cash flow in a certain period. If the market is efficient, the stock price will adjust to the change of the cash flow. Since the first empirical study from McConell and Muscarella in 1985, foreign scholars start a series research on market reaction to investment announcements in foreign capital market. However, generated from the restructure of state-owned enterprises, the Chinese securities market has a unique capital environment. In this paper, we aim to take a preliminary analysis on stock market response to the corporate investment.
　　Literature review
　　The scholars start their study from two basic directions. On the one hand, they inspect the market reaction to the investment. Grounded on the American capital market, McConell and Muscarella(1985) find a positive abnormal return when issuing the investment announcements (CAR=1%). Parallelly, Brailsford (2004) and Kim et al. (2005) have tested the stock market in Australian and South Korean respectively, verifying the similar results. However, using the data from British security market, Burton(1999) can’t find obvious abnormal response from investors.
　　On the other hand, many people explore the diversity of market reactions to different investment announcements. Saeed Akbar(2008) divided the investments into four categories according to the purposes, finding that the investment for the equipments and plants will acquire more positive reaction. With the merge announcements, Lang(1991) apply the tobin Q and free cash flow as two-dimensional variables to divide the notices and discover that the group with the low tobin Q and high free cash flow receive the lowest abnormal return. Some other scholars verify that the joint investment can get a higher evaluation.
　　Theoretical background and hypothesis
　　According to the theory of Shareholders Value Maximization, the managers will make the decision in order to maximize the shareholders value in the constraint and incentive of a series of contracts and mechanisms. Especially in the market of asymmetric information, in order to release a positive signal, the company must maintain a high level of profitability and dividend rate so that they will only invest in the project bringing the positive NPV.