An investigation of the information content of the financial policies of chinas listed companies 2

TABLES Table 1-1 Number of Listed Companies (1993-2004) Source: China Securities and Futures Statistical Yearbook, edited by CSRC1 (2005). Year Total SHSE SZSE 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 183 291 323 530 745 851 949 1088 1160 1224 1287 1377 106 171 188 293 383 438 484 572 646 715 780 837 77 120 135 237 362 413 465 516 514 509 507 540 A-shares Only A & H shares A & B shares 227 242 431 627 727 822 955 1025 1085 1146 1236 11 14 17 18 19 19 23 28 30 31 54 58 69 76 80 82 86 88 87 87 86 B-shares Only 12 16 25 26 26 28 24 24 24 24 Table 1-2 Features of All A-share Firms (1993-2004) Notes: Total Shares and Negotiable Shares are measured in 100 million shares; market capitalization is measured in 100 million Yuan; Trading Volume is measured in million shares. Source: China Securities and Futures Statistical Yearbook, edited by CSRC (2005). Year Number of Stocks Total Shares Negotiable shares Negotiable market capitalization Total Market Capitalization Total Turnover Trading Volume 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 177 287 311 514 720 825 921 1010 1130 1199 1261 1353 300.18 592.63 704.08 1025.23 1646.13 2203.96 2757.88 3439.6 4650.45 5283.64 5808.31 6595.83 57.13 144.4 178.98 267.14 443.24 607.01 810.45 1078.33 1315.21 1508.43 1717.93 1996.65 683.03 813.87 790.94 2514.01 4856.08 5550.02 7937.46 155524.2 13344.9 11718.75 12305.92 10998.47 3318.67 3516.03 3310.57 9488.55 17154.19 19299.29 26167.62 47455.75 42245.56 37526.56 41520.48 36309.35 3522.55 8003.08 3958.58 21052.29 30295.21 12347.72 31049.55 60278.67 33242.04 27142.04 31269.96 41576.19 20916.5 98802.4 68106.57 246492.9 247129.9 209250.1 280974.7 455802.1 246340.7 285949.2 399228.05 507290.76 CSRC refers to China Securities and Regulatory Commission. 137 Table 1-3 China’s Stock Market in the National Economy Notes: The figures of GDP, Central Revenue, and the Amount of Stamp Duty are measured in 100 million Yuan. Source: China Securities and Futures Statistical Yearbook, edited by CSRC (2005) Year GDP 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 26638.1 34634.4 46759.4 58478.1 67884.6 74772.4 79552.8 82054 89404 95933 102398 116694 136515 As percentage of GDP Market Negotiable Market Capitalization (%) Capitalization (%) 3.93 10.2 7.89 2.06 5.94 1.6 14.5 4.22 23.44 6.96 24.52 7.22 31.82 9.87 53.79 17.99 45.37 15.08 37.43 12.19 36.38 11.29 27.14 8.56 Central Revenue 957.5 2906.5 3256.6 3661.1 4226.9 4885 5797.7 7584.33 8582.74 11020 11865 - Stamp Duty Percentage Amount (%) 22 2.3 48.77 1.68 26.38 0.81 127.99 3.5 25.76 5.93 225.75 4.62 248.07 4.28 485.89 6.41 291.44 3.4 111.95 1.02 128.35 1.08 169.08 - 138 Table 2-1 Share Structure of All Listed Firms (1992-2004) Notes: The figures are the number of shares as a percentage of outstanding shares, which are computed through data from China Securities and Futures Statistical Yearbook (2005). Non-tradable Shares Tradable Shares Year Stateowned shares Legal Person's Shares Others Total A-shares B-shares H-shares Total 1992 42.10% 26.60% 1.20% 70.00% 15.90% 14.90% 0.00% 30.80% 1993 49.10% 20.70% 2.50% 72.20% 15.80% 6.40% 5.60% 27.80% 1994 43.30% 22.50% 1.10% 67.00% 21.00% 6.10% 6.00% 33.00% 1995 38.70% 24.60% 1.10% 64.50% 21.20% 6.70% 7.70% 35.50% 1996 35.40% 27.20% 2.20% 64.80% 21.90% 6.40% 6.90% 35.20% 1997 31.50% 30.60% 3.20% 65.30% 22.80% 6.00% 5.70% 34.60% 1998 34.30% 28.30% 3.30% 65.90% 24.10% 5.30% 4.70% 34.10% 1999 36.10% 26.60% 2.30% 65.00% 26.30% 4.60% 4.00% 35.00% 2000 38.90% 23.80% 1.60% 64.30% 28.40% 4.00% 3.30% 35.70% 2001 46.20% 18.30% 0.80% 65.30% 25.30% 3.10% 6.40% 34.70% 2002 47.20% 17.30% 0.80% 65.30% 25.70% 2.90% 6.10% 34.70% 2003 47.39% 16.63% 0.71% 64.72% 26.67% 2.73% 5.87% 35.28% 2004 46.78% 16.40% 0.77% 63.95% 27.87% 2.76% 5.42% 36.05% Average 41.31% 23.04% 1.66% 66.02% 23.30% 5.53% 5.21% 34.03% Table 2-2 Ownership Structure of Listed Companies (1993-2001) Notes: In this table, the firms are divided into different groups according to their ownership structure. The percentage figures are the proportion of firms that dominated by different type of ownership, which are computed through data from the website www.cninfo.com.cn. YEAR Number of Firms 1993 1994 1995 1996 1997 1998 1999 2000 2001 AVERAGE 173 285 321 523 726 838 918 1037 1082 Dominated by State-owned Shares 52.02% 47.37% 45.17% 46.08% 50.83% 51.79% 49.78% 48.79% 48.15% 48.89% Dominated by Dominated by Dominated by ALegal Person’s Non-negotiable shares Shares Shares 34.68% 12.72% 89.02% 31.93% 20.70% 84.56% 30.22% 24.30% 83.49% 35.37% 17.97% 88.34% 31.68% 17.08% 90.22% 31.74% 15.99% 90.10% 31.81% 17.97% 88.78% 29.12% 21.89% 83.99% 27.63% 24.12% 81.79% 31.58% 19.19% 86.70% 139 Table 2-3 Ownership concentration in terms of a single shareholder Notes: Figures are rearranged based on data from He (1998). Percentage of Shares owned by the Largest Shareholder 90-100 80-90 70-80 60-70 50-60 40-50 30-40 20-30 10-20 0-10 Number of Firms Percentage of Firms 35 80 85 97 95 90 37 0.00% 0.60% 6.60% 15.10% 16.00% 18.30% 17.90% 17.00% 7.00% 1.50% Cumulative Percentage 0.00% 0.60% 7.20% 22.30% 38.30% 56.60% 74.50% 91.50% 98.50% 100.00% Table 2-4 Overall Performance of Listed Companies (1992-2004) Source: China Securities and Futures Statistical Yearbook, edited by CSRC (2005) Year Debt Ratio (%) 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 65.01 48.76 50.8 54.41 53.72 50.06 49.49 52.57 53.49 55.65 64.75 67.99 69.65 Net Asset Per Share (Yuan) 2.44 2.43 2.39 2.31 2.41 2.47 2.48 2.48 2.69 2.49 2.49 2.39 2.71 ROE (%) EPS (Yuan) 14.28 14.68 13.15 10.78 9.59 9.69 7.45 8.23 7.63 5.35 5.65 7.37 9.12 0.35 0.36 0.31 0.24 0.23 0.24 0.19 0.20 0.20 0.13 0.14 0.19 0.25 Table 2-5 Losing Firms in China’s Stock Market (1995-2003) Source: http://www.qzmf.com/wz/htm/62/2004_7_21_3868.html Year Num Percent 1995 17 5.1 1996 31 5.4 1997 40 5.4 1998 85 10 1999 81 8.6 2000 96 8.7 2001 151 13.1 2002 175 14.45 2003 159 12.51 140 Table 2-6 Changes of Capital Structure of Listed Companies (1992-2002) Table (A) presents the change in the amount for each type of shares over 1992 to 2002. The figures are calculated and rearranged based on the data from China Securities and Futures Statistical Yearbook (2003). The unit is 10,000 Yuan. Table (B) presents the proportion of the change of each type of shares to the changes of total capital over 1992-2002. (A) Type of shares end of 1992 State-owned Shares Sponsor's Legal Person's Shares Foreign Legal Person's Shares Private Placement of Legal Person's shares Staff Shares Others A shares B shares H shares Total Shares 29 9.05 2.8 6.49 0.85 0 10.93 10.25 68.87 Seasoned Stock Other end of Equity Issue dividend Rights Public changes 2002 Issue Issue 2228.32 396.98 47.71 9.72 63.55 2774.78 509.33 253.55 24.1 2.38 -111.49 686.45 30.84 21.85 1.9 0.36 -4.49 53.26 127.03 114.79 13.37 -0.16 20.61 282.13 82.91 26.92 7.17 0.44 -103.56 14.73 76.25 11.89 23.46 5.33 -89.59 27.33 605.8 445.01 179.27 64.47 204.01 1509.49 63.05 43.89 5.72 32.98 11.32 167.21 347.87 0 10.5 1.71 360.08 4071.4 1314.86 302.71 126.01 -7.94 5875.45 IPO (B) Type of Shares State-owned Shares Sponsor's Legal Person's Shares Foreign Legal Person's Shares Private Placement of Legal Person's shares Staff Shares Others A shares B shares H shares Total Total Changes IPO 2746.28 81.1% 677.87 75.1% 50.46 61.1% 275.64 46.1% 13.88 597.3% 27.33 279.0% 1498.56 40.4% 156.96 40.2% 360.08 96.6% 5807.05 70.11% Seasoned Equity Stock Issues Others Dividend Rights Public Total Issues Issues 14.5% 1.7% 0.4% 2.1% 2.3% 37.4% 3.6% 0.4% 3.9% -16.4% 43.3% 3.8% 0.7% 4.5% -8.9% 41.6% 4.9% -0.1% 4.8% 7.5% 193.9% 51.7% 3.2% 54.8% -746.1% 43.5% 85.8% 19.5% 105.3% -327.8% 29.7% 12.0% 4.3% 16.3% 13.6% 28.0% 3.6% 21.0% 24.7% 7.2% 0.0% 0.0% 2.9% 2.9% 0.5% 22.64% 5.21% 2.17% 7.38% -0.14% 141 Table 2-7 A summary of A-share Firms Issuing New Shares (1994-2003) Notes: The figures are calculated through data from www.cninfo.com.cn. Seasoned Equity Issues YEAR 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 Total Number Proportion to total firms 65 69 48 118 159 126 200 97 50 42 974 22.65% 22.19% 9.34% 16.39% 19.27% 13.65% 18.87% 8.54% 4.17% 3.45% 13.85% Rights issues Proportion to Number Equity Issuing Firms 65 100.00% 69 100.00% 48 100.00% 116 98.31% 154 96.86% 122 96.83% 181 90.50% 84 86.60% 20 40.00% 25 59.52% 887 86.86% Public Issues Proportion to Number Equity Issuing firms 19 13 30 17 90 1.69% 3.14% 3.17% 9.50% 13.40% 60.00% 40.48% 18.77% Table 2-8 A summary of A-share Firms Paying Dividend (1994-2003) Notes: The figures are calculated through data from www.cninfo.com.cn. Firms paying dividend YEAR Total Firms Number 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 Total 287 311 514 720 825 923 1060 1136 1200 1216 8192 209 265 295 397 398 402 378 766 712 642 4464 Proportion to total firms 72.82% 85.21% 57.39% 55.14% 48.24% 43.55% 35.66% 67.43% 59.33% 52.80% 57.76% Paying cash dividend proportion to dividend Number paying firms 130 62.20% 208 78.49% 194 65.76% 179 45.09% 230 57.79% 268 66.67% 316 83.60% 748 97.65% 695 97.61% 632 98.44% 3600 75.33% Paying Stock dividend Proportion to dividend Number paying firms 160 76.56% 149 56.23% 176 59.66% 262 65.99% 207 52.01% 181 45.02% 107 28.31% 121 15.80% 89 12.50% 69 10.75% 1521 42.28% 142 Table 2-9 Turnover Ratios of China’s Stock Market and Major World Markets Notes: The turnover ratios of Shenzhen Securities Exchange (SZSE) or Shanghai Securities Exchange (SHSE), is defined as the ratio of the number of trading volume to the number of negotiable shares, and is collected from China Securities and Futures Statistical Yearbook (2005); the turnover ratios of the three major markets are collected from China Securities and Futures Statistical Yearbook, edited by CSRC (1999). Year 1992 Turnover Ratio SZSE SHSE New York London Tokyo - - 47.00 43.00 20.00 1993 - - 53.00 81.00 26.00 1994 583.83 1134.63 53.00 77.00 25.00 1995 254.52 528.72 58.99 77.70 26.77 1996 1350.35 913.43 51.98 58.30 26.91 1997 817.43 701.81 65.70 44.00 32.90 1998 406.56 453.63 69.87 47.03 34.12 1999 424.52 471.46 2000 509.10 492.87 2001 227.89 269.33 2002 198.79 214.00 2003 214.18 250.75 57.08 61.15 27.39 2004 288.29 288.71 Average 479.59 519.94 143 Table 2-10 Number of A-share Investors (1990-2001) Notes: The data are collected from Shenzhen Stock Exchange Fact Book 2001 and Shanghai Securities Exchange Statistical Yearbook 2002. The number of investors is measured at the end of each year in unit of 10, 000. Shenzhen Securities Exchange Year Total Individual Institution Proportion of Individual Investors Shanghai Securities Exchange Total Individual Institution Proportion of Individual Investors 1990 1.06 1.06 0.00 100.00% 1991 25.69 25.63 0.06 99.77% 1992 105.05 104.91 0.14 99.87% 1993 353.28 352.22 1.05 99.70% 1994 483.00 480.72 2.27 99.53% 573.00 571.00 2.00 1995 555.04 551.90 3.14 99.43% 682.50 680.00 2.50 99.63% 1996 1089.58 1085.30 4.27 99.61% 1203.30 1200.00 3.30 99.73% 1997 1609.78 1601.88 7.90 99.51% 1706.77 1702.19 4.59 99.73% 1998 1901.09 1892.47 8.62 99.55% 1991.61 1986.05 5.56 99.72% 1999 2189.52 2178.81 10.72 99.51% 2272.23 2264.67 7.56 99.67% 2000 2830.39 2816.47 13.92 99.51% 2943.32 2931.20 12.12 99.59% 2001 3165.22 3149.76 15.46 99.51% 3326.93 3311.07 15.87 99.52% 99.65% 144 Table 4-1-1 Sample Description of Cash Dividend Events (1994-2003) Notes: The figures were calculated based on the data from www.cninfo.com.cn. SZSE denotes Shenzhen Securities Exchange and SHSE denotes Shanghai Securities Exchange; Stdev denotes the standard deviation of cash dividend per share; and Obs denotes the observations of cash dividend events. The unit of cash dividend per share is Yuan. YEAR Mean Median Max Min Stdev Obs 1994 0.146 0.100 1.200 0.018 0.093 130 1995 0.186 0.150 1.300 0.014 0.127 208 1996 0.165 0.150 0.720 0.010 0.085 194 1997 0.163 0.130 1.000 0.010 0.069 179 1998 0.178 0.150 0.740 0.010 0.078 230 1999 0.177 0.150 1.250 0.010 0.090 268 2000 0.156 0.120 0.800 0.010 0.075 316 2001 0.133 0.100 0.700 0.010 0.085 748 2002 0.118 0.100 0.660 0.002 0.086 695 2003 0.133 0.100 0.600 0.004 0.091 632 SHSE 0.143 0.100 1.300 0.002 0.085 2071 SZSE 0.148 0.100 1.250 0.010 0.092 1529 All 0.145 0.100 1.300 0.002 0.088 3600 Table 4-1-2 Sample Description of Pure Cash Dividend Events (1994-2003) Notes: The figures were calculated based on the data from www.cninfo.com.cn. SZSE denotes Shenzhen Securities Exchange and SHSE denotes Shanghai Securities Exchange; Stdev denotes the standard deviation of cash dividend per share; and Obs denotes the observations of cash dividend events. The unit of cash dividend per share is Yuan. YEAR Mean Median Max Min Stdev Obs. 1994 0.139 0.150 0.230 0.050 0.051 17 1995 0.211 0.195 1.300 0.033 0.170 72 1996 0.164 0.160 0.600 0.010 0.097 77 1997 0.159 0.128 1.000 0.010 0.125 91 1998 0.184 0.160 0.740 0.010 0.124 145 1999 0.193 0.190 1.250 0.010 0.135 175 2000 0.171 0.150 0.800 0.010 0.106 220 2001 0.135 0.100 0.600 0.020 0.089 526 2002 0.120 0.100 0.660 0.002 0.089 523 2003 0.132 0.100 0.520 0.004 0.094 483 SHSE 0.145 0.120 1.300 0.002 0.101 1412 SZSE 0.148 0.100 1.250 0.010 0.114 917 All 0.146 0.110 1.300 0.002 0.106 2329 145 Table 4-1-3 Expected Results of Regression Models of Cash Dividends Notes: CAR2 is the cumulative abnormal returns over days [0, +1]; CSH_GW is the current annual growth of cash dividend; PS_CSH is the cash dividend per share; FUT_GWNII is the annual growth of net income after the announcement; FUT_EPS is the earnings per share after the announcement; FUT_CFASS is the ratio of net cash flow from operation to the total assets; MTB is the market-to-book ratio before the announcement, which is computed as the market value of the equity divided plus the total liabilities, divided by the total assets. 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The actual return of security i on a particular day, t, was defined as: Rit = ln[( Pit + Dit ) / Pi ,t −1 ] Where Pit = the closing price of security i on day t; Dit = the cash dividend paid by security i on day t; Pit −1 = the closing price of security i on day t-1. The regression model is the single-index market model which is given by Rit = + bi Rmt The abnormal return of security i on event day t was defined as: ARit = Rit − (aˆ i + bˆi Rmt ); . Where aˆ i , bˆi = Least square regression coefficients for estimation period using the single-index market model; 190 Rmt = The market factor on day t as approximated by the return on Shanghai Ashare Index and Shenzhen A-share Index; The cross-sectional abnormal return for each period and the cumulative abnormal returns over a number of periods are defined as: ARt = N N ∑ AR t =1 it T CAR t ,T = ∑ ARt t =1 Where ARt = The mean abnormal return on a given day t in event period for all the securities in the sample; CAR t ,T = The cumulative abnormal return on event period for all the securities in the sample; N = The number of securities in the sample; T = The number of days in the estimation Period Following Brown and Warner (1980), under the assumption that residuals are uncorrelated across securities, the standard deviation of the average performance measure, which is estimated on the basis of the standard deviation of the performance measure of each sample security in the estimation period, is defined as ⎛ ⎛ t AR it ⎞ ⎞ ⎤ ⎞⎟ ⎜ N ⎡⎢ t ⎛⎜ ⎟⎟ ⎥ Se = ⎜ ∑ ∑ AR it − ⎜⎜ t∑ ⎟ ⎟ ⎥ ⎟⎟ N ⎜ i =1 ⎢ K − t = t1 ⎜⎝ K = t1 ⎝ ⎠⎠ ⎦⎠ ⎣ ⎝ where 191 K = The number of days in the estimation period starting from t1 to t2; N = The number of securities in the sample The test of statistical significance for all the securities on a particular event day is given by Z = ARt /( S e * N ) which is distributed Student-t with (N-2) degrees of freedom for the assumed normal and independent ARit s . The estimate Se assumes that variation in the market during the event period is essentially the same as it was during the estimation period. Further, this estimate does not adjust for the number of observations in the estimation interval. These considerations were included in the standard error of the forecast originally proposed by Patell (1976) and popularized in the finance literature by Dodd and Warner (1983). The standard error of forecast S f , which makes adjustments for differences in the number of observations in the estimation period as well as in the variance of market returns in the event and estimation periods, is calculated as follows: ⎡ ⎢ S f = S e ⎢1 + + ⎢ K ⎢ ⎣ ⎤2 (Rmt − Rmt ) ⎥⎥ d2 (Rmd − Rm )2 ⎥⎥ ∑ d = d1 ⎦ Where S f = The variance of the error term from the market model regression in the estimation period for stock i; K = The number of observations in the estimation period starting from d1 to d2; Rmt = The market rate of return on event day t; 192 Rmd = The market rate of return on estimation day d during estimation period; Rm = The mean market rate of return during the estimation period Assuming that the abnormal returns are multivariate normal and cross-sectionally independent, the null hypothesis that the mean abnormal return is zero is tested with the following statistics (Z). For event day t, the z-statistics for the mean return on N securities is calculated as: Z t = ARt /( N * S f ) For testing cumulative excess returns for N securities over T days (estimation period from t1 to t ), the Z-statistic which is distributed N(0,1) is: N t2 Z T = ∑∑ ARit (T ∗ N ) 12 i =1 t = t1 193 [...]... 0.336 0 .20 0 3.000 0.100 0.360 160 1995 0 .20 7 0 .20 0 0.900 0.050 0.149 149 1996 0 .20 7 0 .20 0 1.000 0.009 0.1 62 176 1997 0 .26 4 0 .20 0 1.000 0.0 12 0.184 26 2 1998 0 .26 1 0 .20 0 1.000 0.050 0.174 20 7 1999 0 .25 0 0 .20 0 0.800 0.050 0.1 32 181 20 00 0 .24 0 0 .20 0 0.800 0.060 0.134 107 20 01 0 .22 0 0 .20 0 1.000 0.044 0.137 121 20 02 0.155 0.100 0.600 0.016 0.099 89 20 03 0 .21 3 0 .20 0 0.800 0.017 0.139 69 SHSE 0 .24 3 0 .20 0 3.000... Median Maximum Minimum Std Dev Observations CSH_GW 0.15 0.00 12. 16 -0.98 1.01 128 2 PS_CSH 0.15 0.11 1.30 0.00 0.11 23 29 GWNII 0 .22 0. 02 56.79 -7.64 2. 27 1758 FUTGWNII -0.13 0.00 38.60 -28 .45 1. 82 2179 EPS 0 .27 0 .24 1.73 -2. 28 0.17 22 35 FUTEPS 0 .24 0 .23 1.80 -1.86 0 .23 23 11 CFASS 0.06 0.06 0.45 -0.46 0.08 1866 FUTCFASS 0.05 0.06 0.45 -0.46 0.08 20 58 MTB 11.55 10.38 68.91 1.94 5.98 22 15 LGMV 21 . 72 21.68... 1.46* 3. 52* ** 2. 22* ** 0.35 2. 50*** 0.60 -0 .23 0.17 3 .24 [ -2, +2] 1.83 2. 35** 4 .20 *** 2. 00** 0 .26 2. 69** -0. 02 0.40 1. 82 3.56 1 62 Table 5 -2- 3 Announcement of Stock Dividend by Period Notes: The results presented in this table are based on the OLS model n is number of observations; t, u or v denotes any single day within the event window [-10, +10], and t=0 is the announcement day; CAR and AR denote the cumulative... 1.000 0.050 0.199 186 20 00 0.430 0.400 1.000 0. 020 0 .24 9 139 20 01 0. 425 0.400 1.000 0.044 0 .22 6 159 20 02 0.3 72 0.300 1.000 0.050 0 .24 0 125 20 03 0. 422 0.350 1.000 0.050 0 .26 6 128 SHSE 0.365 0.300 1.000 0. 020 0 .23 4 705 SZSE 0.410 0.350 1.000 0.010 0 .24 9 535 All 0.385 0.300 1.000 0.010 0 .24 2 124 0 Table 4-3 -2 Sample Description of Pure Transferred capital stocks Events (1994 -20 03) Notes: The figures were calculated... EPS_00 -0 .21 10*** ( 0.04 92) FUTEPS_00 0.0054 ( 0.0435) CFASS_00 0 .25 85* ( 0.1043) FUTCFASS_00 -0 .25 89** ( 0.0940) ADJ R-square F-STAT OBS 0.36 0 .22 124 3.37*** 650.37*** 22 35 23 11 0. 02 0. 02 0.04 0.34 0.37 42. 02* ** 52. 57*** 92. 12* ** 189.18*** 109.54*** 1866 20 58 22 15 1840 1840 160 Table 5 -2- 1 Announcement Effect of Stock Dividends (1994 -20 03) Notes: The table presents the announcement effect of Stock... 79 20 02 0.318 0.300 0.700 0 .20 8 0.108 15 20 03 0 .29 0 0.300 0.300 0.188 0. 028 24 SHSE 0 .27 8 0.300 1.000 0.111 0.105 406 SZSE 0 .27 5 0.300 1.000 0.100 0.101 334 All 0 .27 7 0.300 1.000 0.100 0.103 740 YEAR Mean Median Max Min Stdev Obs 1994 3.7 32 3.500 5.800 2. 220 0.938 25 1995 3.631 3 .25 0 7.350 2. 200 1.191 34 1996 4.090 3.900 6.980 2. 050 1 .22 9 36 1997 5.708 5.000 14.000 2. 000 2. 141 98 1998 7.695 7 .20 0 22 .000... during 20 0 020 03 and zero otherwise; EPS_00 is the multiplication of EPS and PD00; FUTEPS_00 is the multiplication of FUTEPS and PD00; CFASS_00 is the multiplication of CFASS and PD00; FUTCFASS_00 is the multiplication of FUTCFASS and PD00; *, **, or *** indicates the significance level at 5%, 1% or 0.1% PS_CSH 3 4 5 6 0.0450*** 0.0 927 *** 0. 129 2*** 0.1315*** 0.10 52* ** 0.0357*** 0. 022 9 ( 0.0 029 ) ( 0.0 028 )... R-square 0 .23 33 0.1549 0.3 424 0.0054 0.3779 0 .25 84 0 .26 88 F-STAT 95.66*** 64.44*** 1 82. 75*** 2. 68 48 .23 *** 37. 12* ** 20 .06*** 3 12 347 350 3 12 3 12 3 12 3 12 OBS 166 Table 5-3-1 Announcement Effect of Transferred Capital Stocks (1994 -20 03) Notes: n is number of observations; t, u or v denotes any single day within the event window [-10, +10], and t=0 is the announcement day; CAR and AR denote the cumulative... -0.03 0.08 0 .23 -6 2. 13 -0 .21 -0.54 0.14 0.00 0.16 -0 .29 -0.08 -0. 12 0 .21 -5 3.15 0.35 -0.90 -0.36 0 .22 0.41 0.44 -0.34 -0.51 0.01 -4 4 .22 2. 00 -0 .25 0 .25 -0. 92* -0 .24 -0.09 0 .25 0.09 -0.40 -3 -0.81 0. 92 0.04 0.04 0.00 -0.06 -0.15 0.03 0.10 -0.15 -2 -0.57 -15.85 0.60 -0.45 0.15 0.43 0.04 0 .27 -0 .20 0.17 -1 -2. 96 7.18 0.41 -0.05 0. 42 -0.19 0.06 -0 .26 0.34 -0.38 0 4.77 8.43 2. 85*** 1. 02* 0.70 1 .28 ** 0.98*... 1.000 0 .20 0 0 .29 4 25 1997 0.565 0.500 1.000 0.150 0 .24 1 59 1998 0.468 0.500 1.000 0.100 0 .27 8 37 1999 0.4 32 0.400 1.000 0.100 0 .23 6 35 20 00 0.487 0.500 1.000 0.100 0 .26 6 46 20 01 0. 529 0.500 1.000 0.100 0 .25 0 31 20 02 0.457 0.500 1.000 0.100 0 .24 3 27 20 03 0.414 0.350 1.000 0.100 0 .26 0 36 SHSE 0.471 0.500 1.000 0.100 0 .26 1 1 62 SZSE 0.514 0.500 1.000 0.100 0 .26 2 137 All 0.491 0.500 1.000 0.100 0 .26 2 29 9 149 . 443 .24 4856.08 17154.19 3 029 5 .21 24 7 129 .9 1998 825 22 03.96 607.01 5550. 02 1 929 9 .29 123 47. 72 20 925 0.1 1999 921 27 57.88 810.45 7937.46 26 167. 62 31049.55 28 0974.7 20 00 1010 3439.6 1078.33 155 524 .2. 47455.75 6 027 8.67 4558 02. 1 20 01 1130 4650.45 1315 .21 13344.9 422 45.56 3 324 2.04 24 6340.7 20 02 1199 528 3.64 1508.43 11718.75 37 526 .56 27 1 42. 04 28 5949 .2 2003 126 1 5808.31 1717.93 123 05. 92 41 520 .48 3 126 9.96. 17 02. 19 4.59 99.73% 1998 1901.09 18 92. 47 8. 62 99.55% 1991.61 1986.05 5.56 99. 72% 1999 21 89. 52 2178.81 10. 72 99.51% 22 72. 23 22 64.67 7.56 99.67% 20 00 28 30.39 28 16.47 13. 92 99.51% 29 43. 32 2931 .20