CAJ | 학술논문

长期以来，国家产业政策一直是中国政府调控经济活动的重要工具。本文基于上海证券交易所的交易数据研究了国家新兴战略性产业政策对金融证券价格和投资者行为的影响。研究结果发现，产业政策在公布后短期内能给投资者带来较高超额收益，但在中长期对收益率没有影响。造成这种现象的原因是产业政策存在陆续披露的过程，机构投资者利用他们获得信息的优势、对信息的处理能力和其他投资者对过时信息（stale news）的非理性反应进行获利，从而导致对应证券的收益率反转（return reversal）。由于这些行为，国家真正要扶持的企业得不到长期稳定的金融市场资金的支持，使得产业政策的实际效果可能会因此而打折扣。
장기이래，국가산업정책일직시중국정부조공경제활동적중요공구。본문기우상해증권교역소적교역수거연구료국가신흥전략성산업정책대금융증권개격화투자자행위적영향。연구결과발현，산업정책재공포후단기내능급투자자대래교고초액수익，단재중장기대수익솔몰유영향。조성저충현상적원인시산업정책존재륙속피로적과정，궤구투자자이용타문획득신식적우세、대신식적처리능력화기타투자자대과시신식（stale news）적비이성반응진행획리，종이도치대응증권적수익솔반전（return reversal）。유우저사행위，국가진정요부지적기업득불도장기은정적금융시장자금적지지，사득산업정책적실제효과가능회인차이타절구。
Industrial policy has always been an important tool for the Chinese government to control and stimulate the economic activities. Based on a unique trading dataset provided by the Shanghai Stock Exchange, this article explores the linkage between national emerging and strategic industrial policy and the financial market, in particular how the policy announcement may affect asset prices and investors＇ investment behavior. We find that abnormal returns can be achieved within two weeks after the announcement but gradually decrease until they totally disappear after eighteen months. The reason for this temporal price effect is because the information about industrial policy is released over time. Institutional investors can benefit from their comparative advantage in analyzing public information and exploit of other investors＇ overreaction to stale news. Retail investors may lose money because of the resulting return reversal. As a result of all these, those firms that are supposed to benefit from the industrial policy cannot obtain long-term and stable financing from the domestic stock market.