| 基于意见分歧视角的盈余公告股价效应经验研究 |
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| 引用本文： | 李凤羽.基于意见分歧视角的盈余公告股价效应经验研究[J].丹东师专学报,2012(2):84-91. |
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| 作者姓名： | 李凤羽 |
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| 作者单位： | 东北财经大学经济与社会发展研究院,辽宁大连116025 |
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| 摘 要： | 以A股市场上市公司定期披露的年报为样本,从投资者意见分歧的角度解释年报披露期间的股价反应,发现与意见分歧程度较低的股票相比,意见分歧程度较高的股票在年报披露期间获得显著的低收益,投资者意见分歧与年报披露期间的股票收益负相关,说明年报披露会降低投资者之间的意见分歧,导致公告前因卖空限制和意见分歧而被高估的股价在年报披露期间向其基础价值回归,这一结果符合意见分歧资产定价理论。
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| 关 键 词： | 意见分歧 卖空限制 盈余公告 |
Price Reaction around Earnings Announcement： an Empirical Research in Perspective of Investors＇ Opinion Divergence |
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| Institution: | LI Feng - yu (Research Academy of Economic ＆ Social Development, Dongbei University of Finance and Economics, Dalian 116025, China) |
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| Abstract: | Share price reaction in announcement dates was analyzed in the perspective of investor＇ s opinion divergence by using annual earning announcement disclosed by listed companies in A - share stock market as exampies. It is found that high opinion divergence stocks earn significantly lower returns than low opinion divergence stocks around announcement dates. This demonstrates that the disclosure of announcement will reduce difference among investors and leads the return of the high stock price caused by short sales constraint and opinion divergence before the issue of announcement. This result matches the theory of opinion divergence asset pricing model. |
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| Keywords: | Opinion divergence short sales constraint earnings announcement |
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