基于事件法研究巨灾对我国上市公司的影响——以汶川8.0级地震为例
详细信息 本馆镜像全文    |  推荐本文 | | 获取馆网全文
摘要
采用事件法分析了2008年汶川8.0级地震对四川省上市公司的影响。首先,选取建筑、电力、化工行业上市公司为样本,计算分析样本上市公司股票日平均异常收益率(AR)和累积异常收益率(CAR)的波动情况,然后对其进行检验;结果表明:地震灾害对不同行业上市公司的影响时间和程度都不尽相同,对建筑行业上市公司有正面影响,对电力行业和化工行业上市公司有较大负面影响。最后,总结分析巨灾对上市公司影响,借鉴国外经验,考虑我国巨灾风险管理国情,提出构建我国上市公司巨灾风险管理建议。
The impacts of 2008 Wenchuan M8. 0 earthquake on local listed companies in Sichuan are studied by event study method. Data of local listed companies of construction utility industry,power utility industry and chemical utility industry are selected. Fluctuation of the daily average abnormal return( AR) and cumulative abnormal return( CAR) of the sample data is computed,analyzed and tested. Results show that: impacts of the earthquake on different industries are different in time and degree. The impact on construction industry is positive and that on power industry and chemistry industry is relatively more negative. Finally,the impacts of catastrophe on listed companies are summarized and considering the catastrophe risk management situation in China,based on learning from foreign experiences,suggestions for establishing the risk management for listed companies in China are put forward.
引文
[1]杨宝华.巨灾影响上市企业价值的时问路径及成因分析[J].重庆大学学报:社会科学版,2011,17(4):75-80.
    [2]World Bank.Hazards of nature,risk to development:An IEG evaluation of world bank assistance for natural disaster[M].Washington:Worm Bank,2006.
    [3]Joanne Hill,Thomas Schneeweis.The effect of three mile island on electric utility stock prices:A note[J].The journal of finance,1983,33(4):1285-1292.
    [4]Roger M Shelor,Dwight C Anderson,Mark L.Cross-gaining from loss:Property-liability insurer stock values in the aftermath of the1989 california earthquake[J].The Journal of Risk and Insurance,1992,59(3):476-488.
    [5]Cummins J D,Lewis C M.Catastrophic events,parameter uncertainty and the breakdown of implicit long-term contracting:The case of terrorism insurance[M]//The Risks of Terrorism.Springer US,2003:55-80.
    [6]袁显平,柯大钢.事件研究方法及其在金融经济研究中的应用[J].统计研究,2006,10(10):31-35.
    [7]许倩倩.“含汞门”事件对乳制品行业影响的实证研究——基于事件研究法[J].中国商贸,2014(7):14-19.
    [8]International Risk Governance Council(IRGC).White paper on risk governance towards an integrative approach[R].Geneva:International Risk Governane Couneil,2005.
    [9]Krmer W,Schich S T.Large-scale disasters and the insurance industry[R].CESifo working paper,2008.
    [10]Lo A A W C,CRAIG A.The econometrics of financial markets[M].Princeton:Princeton University press,1997.
    [11]Schipper K,Thompson R.The impact of merger-related regulations on the shareholders of acquiring firms[J].Journal of Accounting research,1983,21(1):184-221.
    [12]Donald P.Cram,Dinah Koehler.Pollution as news-controlling for contemporaneous correlation of returns in event studies of toxic release inventory reporting[R].2000.
    [13]Prakash Shimpi.Integrating corporate risk and capital management[J].Journal of Applied Corporate Finance,2002,14(4):27-40.
    [14]World Bank.Hazards of nature,risk to development:An IEG evaluation of world bank assistance for natural disaster[M].Washington:Worm Bank,2006.
    [15]Chen P H,Eckles D L.Catastrophic risk management,insurance,and the hyogo framework for action 2005-2015[C].Casualty Actuarial Society E-Forum,Winter 2014.
    [16]国务院国有资产管理委员会.中央企业全面风险管理指导[EB/OL].[2014-04-15].http://www.gov.cn/banshi/2006-06/22/content_317160.htm.
    [17]史培军,邵利铎,赵智国,等.中国大型企业综合风险管理战略与模式[J].自然灾害学报,2008,17(1):9-14.
    [18]唐彦东,于汐.灾害经济学研究综述[J].灾害学,2013,28(1):117-120.
    [19]唐彦东.灾害经济学[M].北京:清华大学出版社,2011.
    [20]唐彦东,于汐.汶川地震对我国地震保险的启示[J].防灾科技学院学报,2009,11(1):125-127.
    [21]李姗姗,李颖.巨灾风险管理刍议[J].财会通讯,2009(8):149-150.

版权所有:© 2023 中国地质图书馆 中国地质调查局地学文献中心