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投资者意见分歧视角下盈余公告的市场反应经验研究
引用本文:潘宏.投资者意见分歧视角下盈余公告的市场反应经验研究[J].投资研究,2012(1):98-109.
作者姓名:潘宏
作者单位:上海财经大学金融学院
摘    要:本文从投资者意见分歧角度出发,研究盈余发布前后一段时间内中国股票价格行为特征,并在此基础上首次考虑公告所引发的二次意见分歧对市场反应产生的影响。研究结果表明意见分歧越高的公司,股价在公告前高估情况越严重、在公告时的下降幅度越大,二次意见分歧高的股票其超额收益较大。此外,本文还发现中国股市普遍存在盈余公告提前泄露,股价的收益特征较国外有所前移,通过进一步分析发现市场知道坏消息的时间要早于好消息。

关 键 词:意见分歧  卖空限制  盈余公告  信息泄露

Empirical Study of Market Reaction to Earnings Announcements Based on Investor Opinion Heterogeneity
Pan hong.Empirical Study of Market Reaction to Earnings Announcements Based on Investor Opinion Heterogeneity[J].Investment Research,2012(1):98-109.
Authors:Pan hong
Abstract:This paper examines stock price behavior around earnings announcements in China from the point of differences of opinion, and on this basis, for the first time considered secondary differences of opinion. The results show that the higher differences of opinion before earnings announcements, the more serious overestimation, and the greater decrease around announcement, the higher secondary differences of opinion, and the greater excess return. In addition, China’s stock market widespread information leakage before earnings announcements, and resulting stock price return characteristics of China has moved forward over foreign, further analysis shows the market know bad news earlier than good news.
Keywords:Differences of Opinion  Short-sale Constraints  Earnings Announcements  Information Leakage
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