| 市场类型与盈余公告后的价格漂移现象:基于A、B股的比较 |
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| 引用本文： | 张雯,张胜,陈思语.市场类型与盈余公告后的价格漂移现象:基于A、B股的比较[J].财经论丛,2018(6):65-75. |
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| 作者姓名： | 张雯 张胜 陈思语 |
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| 作者单位： | 北京信息科技大学经济管理学院,北京,100192
中南财经政法大学会计学院,湖北武汉,430073
国家外汇业务中心,北京,100032 |
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| 基金项目： | 国家社会科学基金青年项目(17CJY068)，教育部人文社会科学研究基金青年项目(15YJC790147) |
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| 摘 要： | 本文以A、B股并存这一中国独特的制度背景,研究了市场类型对盈余公告后价格漂移现象(PEAD)的影响极其机理.研究结果表明,市场类型对于PEAD程度有显著影响,A股PEAD程度显著大于B股.进一步的研究结果表明,A股市场的信息噪音、投机动机和投资需求均显著大于B股市场,这是导致这两个市场的PEAD存在显著差异的重要原因.本文利用一个独特的制度背景,研究发现市场类型是影响PEAD的重要原因,丰富了相关领域的文献,对投资者和监管层都具有重要的借鉴意义.
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| 关 键 词： | PEAD 分割市场 A+B双重上市 累积超额收益率 Post-earnings-announcement-drift ( PEAD) Market Segmentation Dual-listed Company CAR |
The Types of Market and Post-earnings-announcement Drift:Based on a Comparison Between A-share and B-share in China |
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| ZHANG Wen,ZHANG Sheng,CHEN Siyu.The Types of Market and Post-earnings-announcement Drift:Based on a Comparison Between A-share and B-share in China[J].Collected Essays On Finance and Economics,2018(6):65-75. |
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| Authors: | ZHANG Wen ZHANG Sheng CHEN Siyu |
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| Abstract: | This paper selects A+B dual-listed firms to investigate the reasons that cause the difference of PEAD between the two markets .The empirical test result shows that there is more information voice , speculative trading and investment de-mand in A-share than in B-share, and these differences play a crucial role in the PEAD of segmented markets .The results al-so indicate that A-share firms have larger cumulative abnormal returns after earnings announcement than B -share firms.The conclusion of the researchreveals the irrational atmosphere in A-share and vitality deficiency in B-share.This paper enriches the literature of related fields and has great significance for investors and regulators . |
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