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本文以沪深两市重污染行业上市公司为研究对象,运用事件研究法发现,新《环境保护法》(以下简称“新法”)实施给样本上市公司带来-20%的累计异常收益,股价下跌主要发生在“新法”实施前30个交易日至实施当日。“新法”实施是历史公开信息,为什么还能引发强烈的市场反应呢?注意力假说认为,新闻媒体关于“新法”的报道引起了投资者的注意力,注意力驱动引发股价下跌;信息发现假说认为,“新法”颁布至“新法”实施的空白期间是投资者信息发现的过程,如果公司基本面信息透明或者良好,则缓解注意力驱动的股价下跌。回归分析支持注意力假说和信息发现假说。
In this paper, the listed companies in heavily polluting industries in Shanghai and Shenzhen are selected as the research objects. By means of event research, it is found that the implementation of the new “Environmental Protection Law” (hereinafter referred to as “the new law”) brings a cumulative abnormal return of -20% , The decline in share prices mainly occurred in the 30 trading days before the implementation of the “new law” and the implementation date. “The new law ” implementation is the history of open information, why can trigger a strong market reaction? The attention hypothesis that the news media on “new law ” of the report attracted the attention of investors, attention-driven trigger stock prices fell . According to the information discovery hypothesis, the blank period during the promulgation of “new law ” to “new law ” is the process of investor information discovery. If company fundamental information is transparent or good, it can ease the decline of attention-driven share price. Regression analysis supports attentional hypothesis and information discovery hypothesis.