投资者特征与盈余公告后的漂移现象

本文以1999～2004年的上市公司为样本，研究了不同类型投资者对盈余公告后漂移（PEAD）的影响。研究发现，对于好消息，盈余公告后基金重仓持有股票的漂移小于非基金重仓持有的股票；但对于坏消息，基金重仓持有股票的漂移要大于非重仓持有股票的漂移。可能的解释是，基金重仓持有的股票如果公布的是好消息，说明与基金预期一致，所以这类股票的漂移比散户投资的利好股票漂移小；如果公布的是坏消息，则说明基金预期错误，此时基金等机构投资者会积极卖出，由于资金量大引起散户投资者跟着卖出相应股票，从而漂移比非基金重仓持有的利坏股票的漂移大。

Investor Characteristics and PEAD Phenomenon

Using the data of Chinese listed companies 1999- 2004, this study tests whether the observed patterns in post earnings announcement drift are related to the weight of shares held by institutional investors. The findings show that at release of positive news the drift of heavy weight stocks of institutional investors is more modest than other stocks, while at negative news, the drift is enormous. This might be explained in the logic that when the good news usually meets the expectation of the institutions, they choose to hold their stocks and the drifts are smaller. However, when the negative news comes at a surprise, institutions dumping their shares, which begin to lead the selling by retail investors, and the drifts appear stronger.