| 股价波动与信息公告方式相关性研究 |
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| 引用本文： | 张玉剑.股价波动与信息公告方式相关性研究[J].上海立信会计学院学报,2006,20(3):49-56. |
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| 作者姓名： | 张玉剑 |
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| 作者单位： | 上海海通证券有限公司,上海,200021 |
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| 摘 要： | 文章首先构造赢家(输家)组合,并根据信息公告方式定义信息类型属于私人信息还是公开信息,然后考察股价波动与信息发布方式的关系。通过实证研究,我们发现:股价波动和信息的公布方式存在紧密的联系,其中赢家组合整体表现出明显的收益反转现象,对私人信息存在过度反应;输家组合虽整体上未表现出明显的惯性现象或者反转现象,但其对私人信息表现出明显的过度反应。
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| 关 键 词： | 反应过度 反应不足 惯性现象 反转现象 展望理论 |
| 文章编号： | 1009-6701(2006)03-0049-08 |
| 收稿时间： | 09 15 2005 12:00AM |
| 修稿时间： | 2005年9月15日 |
Research on the Relationship between Stock Price Fluctuation and the Type of Information Announcement |
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| ZHANG Yu-jian.Research on the Relationship between Stock Price Fluctuation and the Type of Information Announcement[J].Journal of Shanghai Lixin University of Commerce,2006,20(3):49-56. |
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| Authors: | ZHANG Yu-jian |
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| Institution: | Investment Bank Department, Shanghai Hai Tong Securities Ca, Ltd, Shanghai 200021, China |
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| Abstract: | Through positive research on the stock exchange data in 1998-2003 of stock markets of Shanghai, we find stock price fluctuation and the type of information announcement have close cormection. Wirmers ochieve obvious income reversal and overreact to private information; while losers fail to achieve obvious returns inertia or returns reversal on the whole, but obviously overreact to private infformation. |
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| Keywords: | overreaetion underreaction inertia phenomenon reversal phenomenon prospect theory |
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