牛市中“非理性”市场反应的研究——基于2007年我国金融类上市公司上半年盈余公告的证据

本文通过对我国金融类上市公司发布的2007上半年盈余预告和盈余公告的对比研究,发现该类公司的半年盈余预告准确性低,负偏差大,"牛市"的资本市场对偏差呈现"非理性"反应,"坏消息"获得了正的累积超额报酬,"好消息"却获得负的累积超额报酬。对此"牛市"中的异象,本文结合行为金融学的一些理论作了一些解释。

Research of "non rational" market reaction-prove basing on 2007 China finance listed company's half year profit announcement

By comparing 2007 semiannual earnings for ecasts of China’s listed financial corporations with their earning reports, we can find that these forecasts are with low accuracy and with great negative devia-tion, and that the ＂Bull＂ capital market has irrational reactions to the deviations. Why did ＂Good News＂ give rise to negative cumulative abnormal return （CAR）, while ＂Bad News＂ got positive CAR ？ On the basis of Be-havior Finance, we can make some reasonable explana-tion to the anomaly.