| 香港上市公司盈余公告日附近异常市场回报率研究 |
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| 引用本文： | 樊耘,邵芳.香港上市公司盈余公告日附近异常市场回报率研究[J].国际经贸探索,2011(3). |
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| 作者姓名： | 樊耘 邵芳 |
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| 作者单位： | 西安交通大学管理学院; |
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| 基金项目： | 国家自然科学基金资助项目(70672052); 国家社会科学基金资助项目(10BGL002) |
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| 摘 要： | 文章采用动态资产定价模型(conditional CAPM),避免了无风险收益率及市场风险回报率在期间可能变动的问题;研究结果并未发现盈余公告期间市场风险回报率的显著增长,却发现决定系数R2变小,这一点验证了公司公告发布日附近的期望收益更多的是由公司个别因素、而不是市场因素来决定的。同时,我们还发现异常回报率和公司规模之间的相对较弱的负相关性。
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| 关 键 词： | 异常市场回报率 香港证券市场 盈余公告日 |
Abnormal Stock Returns around Earnings Announcement Dates:The Case of Hong Kong Market |
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| FAN Yun,SHAO Fang.Abnormal Stock Returns around Earnings Announcement Dates:The Case of Hong Kong Market[J].International Economics and Trade Research,2011(3). |
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| Authors: | FAN Yun SHAO Fang |
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| Institution: | FAN Yun,SHAO Fang(Xi'an Jiaotong University,Xi'an 710049,China) |
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| Abstract: | Recognizing the fact that risk betas and risk-free rates are time-varying during announcement periods,the paper applies the conditional CAPM to calculate the abnormal returns of Hong Kong listed companies.The results do not observe a significant increase in betas near the announcement dates,but they do observe a smaller R-square,which is consistent with the argument that the expected returns near the announcement dates are more likely to be driven by firm-specific factors rather than market factors.They als... |
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| Keywords: | abnormal return HK market earnings announcement date |
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