1、復旦大學碩士學位論文上海證券市場國有股權(quán)相關問題的實證研究姓名：曾立申請學位級別：碩士專業(yè)：金融學指導教師：劉紅忠2001.5.1●[ABSTRACT]●●●ThisresearchisprimarilyfocuseduponproblemsconcerningstateownedsharesonChinesestockmarketsInthisdissertation，wetrytoanalyzetheseproblemsfromth

2、reedifferentrespects：empiricaltestonriskassetpricingmodel，empiricaltestonsemi—strongformefficientmarkethypothesis(EMH)andimpactestimationofthefuturereductionofstateownedsharesMarketModelandSecurityMarketLine(SML)areusedi

3、nthefirstpartofempiricaltestAtfirst，throughthemethodof2timeregression，weexaminetherelationshipbetweeninvestmentretumandmarketrelatedrisk(orsystematicrisk)Andthen，tal(ingtheproportionofstateownedsharesandthescaleofcommonA

4、stockintoconsiderationWetrytOdecidewhetherornotstate—ownedshareiSaspecificfactorincapitalassetpricingIntheempiricaltestofsemistrongformEMH，weusetheclassicmethodofEventStudv，whichwasfirstusedbyFFJRin1969DBetothespecialemp

5、hasisofthisresearchwechooseasoursampleeventsthoseM＆AcaseswhichwereaccomplishedthroughtransferofstateownedsharesThestudyiScarriedoutbytwosteps：firstweexaminethegeneralefficiencyofthemarketbystudyingallthesamplecases；secon

6、dweclassifvthesamplecasesintotwogroupsaccordingtotheireffectivenessonimprovingthelistedenterprises’revenue，withthepurposetoobservehowthedifierenteffectivenessofM＆AcaseseffectthemarketresponsesInthelastchapter，wetrytopred

7、ictthemediumtermorlongtermimpactoffuturereductionofstateownedsharesonthestockmarke!ThefirststepistOconstructamarketindexmodelOnthebasisoftheoreticalanalysisThenbycomparison，wewillchooseonewaytocalculatesampledataofthevar

8、iances，andestimatethecoefficientsinthemodelFinally，wewillusethemodeltomakequantitativeestimationoftheimpact【KEYTEELM】1MarketModelSML2EMHEventStudy3IndexcompositionTimefactor【INDEX】F83091SystematicriskandspecificriskCAERa