CAJ | 학술논문

中国从1998年开始对连续亏损2年的上市公司实施特别处理（ ST）制度，由于ST公司具有在戴帽时股价下跌而在摘帽时股价上涨的一般规律，是否会有部分公司利用ST制度及其股价规律主动戴帽以谋取超额收益受到学者关注。采用2001年至2012年戴帽的公司的财务数据和股价数据，运用非预期应计利润法和事件研究法，探讨是否存在部分公司通过主动ST获取超额收益的行为。定义并识别一类利用盈余管理调减可操控性应计利润而主动ST的公司为主动戴帽公司（样本组），采用事件研究法对样本组的超额收益率进行分析。研究结果表明，样本组公司存在显著负超额收益率，在摘帽时则存在显著正超额收益率。在整个戴帽期间，样本组公司平均累计超额收益率显著为正，说明样本组公司确实有通过主动戴帽行为操纵市场以获取超额收益的动机。研究结果不仅丰富了已有的公司金融和财务管理研究，也为监管部门填补政策漏洞提供了新的视角。
중국종1998년개시대련속우손2년적상시공사실시특별처리（ ST）제도，유우ST공사구유재대모시고개하질이재적모시고개상창적일반규률，시부회유부분공사이용ST제도급기고개규률주동대모이모취초액수익수도학자관주。채용2001년지2012년대모적공사적재무수거화고개수거，운용비예기응계리윤법화사건연구법，탐토시부존재부분공사통과주동ST획취초액수익적행위。정의병식별일류이용영여관리조감가조공성응계리윤이주동ST적공사위주동대모공사（양본조），채용사건연구법대양본조적초액수익솔진행분석。연구결과표명，양본조공사존재현저부초액수익솔，재적모시칙존재현저정초액수익솔。재정개대모기간，양본조공사평균루계초액수익솔현저위정，설명양본조공사학실유통과주동대모행위조종시장이획취초액수익적동궤。연구결과불부봉부료이유적공사금융화재무관리연구，야위감관부문전보정책루동제공료신적시각。
The policy of special Treatment ( ST) had been put into effect from 1998 in China.Since there is a general rule that the stock prices of ST companies decrease during the initiation of ST and increase during the removal of ST.It is doubtful whether there are some listed companies to initiate ST intentionally to seize excess earnings by taking advantage of the movement of the stock prices of their companies.Using the financial data and transaction data of ST companies which intentionally initiated ST during the period from January 2001 to December 2012, and adopting unexpected accruals model and event study method, this paper explores whether there is some ST companies obtaining excess earnings by initiating ST intentionally and then removing ST. Based on the unexpected accruals model, this paper studies earnings management of the specially treated companies between Jan-uary 2001 and December 2012 which are removed the title of ST in 3 years and before 2012.And the paper selects the ST com-panies which reduce discretionary total accruals before the year of removing the title of ST.All of these ST companies are defined as sample groups in this paper.By mainly using event study, this paper investigates the return of sample groups.It shows that when specially treated, ST companies of sample groups gain significant negative abnormal return.Yet when removed the title of ST, ST companies of sample groups obtain significant positive abnormal return.While during the whole period of special treat-ment, their positive abnormal return is significantly remarkable.The measures taken by the sample ST companies to intentionally initiate ST are all of earnings management.And viewing from the industrial distribution of these sample ST companies, this kind of intentional initiation of ST exists in every industry.It means that ST companies of sample groups manipulate the stock prices of their companies by intentionally initiative special treatment so as to get abnormal return. Therefore, this paper advises that, the criterion to judge whether a listed company ought to be ST should be refined and rigorous. The absolute value of net profit can not be the only criterion, and some accounting terms that are easily manipulated by listed companies to carry on earnings management should be taken into account as well. The findings of this paper not only enrich the literature on corporate finance and financial management, but also provide a differ-ent view for market regulators to fill some gaps of the policy on ST systems.