| 基于信息不确定性的分割市场盈余公告后漂移研究 |
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| 引用本文： | 陆静, 龚珍,. 基于信息不确定性的分割市场盈余公告后漂移研究[J]. 华东经济管理, 2011, 25(5): 103-109. DOI: 10.3969/j.issn.1007-5097.2011.05.023 |
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| 作者姓名： | 陆静 龚珍 |
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| 作者单位： | 1. 重庆大学,经济与工商管理学院,重庆,400030;加州大学,圣地亚哥分校IR/PS研究生院,加州,圣地亚哥,92093
2. 重庆大学,经济与工商管理学院,重庆,400030 |
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| 基金项目： | 中国博士后基金(20070410209);; 重庆市自然科学基金(2009BB2042) |
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| 摘 要： | 文章采用事件研究和面板数据研究了中国A股、H股分割市场上盈余信息不确定性对盈余公告后漂移的影响。研究表明，境内外财务报告的主要数据不存在显著差异，也就是说，中国会计准则与国际会计准则执行的结果是基本一致的；而A股、H股市场的非财务因素差距较大。研究发现，在分割市场的盈余公告后漂移中，信息不确定性起到了十分重要的作用，无论两个市场上参与人的类型如何，信息不确定性都能加剧投资者认知偏差并有效地影响PEAD。
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| 关 键 词： | 资本市场分割 信息不确定性 盈余公告后漂移 |
Study on Post-Earnings Announcement Drift between Segmented Capital Markets Based on Information Uncertainty |
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| LU Jing; ; GONG Zhen. Study on Post-Earnings Announcement Drift between Segmented Capital Markets Based on Information Uncertainty[J]. East China Economic Management, 2011, 25(5): 103-109. DOI: 10.3969/j.issn.1007-5097.2011.05.023 |
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| Authors: | LU Jing GONG Zhen |
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| Affiliation: | 1.School of Economics and Business Administration; Chongqing University; Chongqing 400030; China; 2.Graduate School of International Relations and Pacific Studies; University of California; San Diego 92093; America |
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| Abstract: | By means of Event Study and Panel Data Regression,we discuss the influence of uncertainty of information on the Post-Earnings Announcement Drift.We find that there are not significant differences between the H-share financial statements and the A-share financial statements,which mean the performances of PRC-GAAP and HK-GAAP are the same basically.On the other hand,the non-financial factors such as annually trading amount,average prices of stocks and average held shares of shareholders are different statisti... |
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| Keywords: | segmented capital markets information uncertainty post-earnings announcement drift |
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