年度盈余报告披露的市场效应研究  

Research on the Market Response to the Annual Earnings Announcements

作　　者：曹纯娟[1] 贾冰[1] 

机构地区：[1]天津大学管理学院,天津300072

出　　处：《河北工业大学学报》2004年第5期10-14,共5页Journal of Hebei University of Technology

基　　金：国家自然科学基金资助项目(70041039);教育部跨世纪人才基金资助项目(70041039)

摘　　要：以上海A股市场为样本,考察我国股票市场在年度盈余报告公布附近较短时窗内的市场反应.通过研究发现我国股票市场会计信息的发布能够引起显著的市场反应,说明会计盈余的披露具有显著信息含量.此外,相对于蓝筹股,我国投资者对于非蓝筹股年度报告披露的反应要强烈得多.同时实证结果表明市场尚未达到半强式有效,投资者可以利用公开的信息获得超额收益.This paper has investigated the behavior of our stock market around and after annual earnings announcements for a sample of A shares listed on Shang Hai stock exchange. We find that our stock market responds significantly to earnings announcements; this result shows there is significant information content in the earnings information. Besides, we also discover investors' reaction to Non-Blue Chip stocks more strongly than Blue Chip stocks. And the empirical study proves that our stock market is not semi-strong efficient because investors can gain abnormal returns with publicly information.

关 键 词：市场反应 非正常收益 年度盈余报告 事件研究 

分 类 号：F830.91[经济管理—金融学]