上市公司业绩预告与股票收益率的经验研究

运用上市公司财务与市场数据，对业绩剧变公司的业绩预告的特点、影响因素及业绩预告对股票价格影响的实证研究发现，业绩预告披露的可能性与业绩变动、基金持股比例、公司规模等因素有关，与风险、前十大股东持股比例等因素无关；业绩预告披露、年度财务报告披露期间的异常收益率与ROE变动比率、资产规模、信息披露细致程度等因素有关。在年报披露期间，业绩预告披露与否对异常收益率有显著影响，业绩预告会在一定程度上削弱年度财务报告信息对该公司股票的利空、利好效应.

An Empirical Analysis of Listed Companies' Performance Forecast and Stock Returns

Based on financial data of listed companies in the market, the paper makes an empirical analysis of features and factors of performance forecast of companies having an earning surprise and its effect on stock price. It finds that probability of performance forecast disclosure is related to performance change, fund holding ratio and corporate size, but unrelated to risk and share holding ratio of the first ten shareholders. Abnormal returns in the disclosure period of performance forecast and annual financial report are related to ROE changing ratio, asset size, and disclosure of particularity. In the disclosure period of annual report, performance forecast disclosure may significantly affect abnormal returns, and weaken the good effect or bad effect of annual financial report on the company＇ s stocks to some extent.