业绩预告的市场反应研究  

The Market Reaction of Earnings Forecasts

作　　者：杨德明[1] 林斌[1] 

机构地区：[1]中山大学管理学院

出　　处：《经济管理》2006年第16期26-31,共6页Business and Management Journal ( BMJ )

基　　金：国家自然科学基金项目"不确定性会计理论与方法研究"(项目批准号:70072037)资助项目。

摘　　要：本文以业绩预告信息为例,研究会计盈余的市场反应问题。我们的研究发现,关于年度会计盈余的业绩预告引起了明显的市场反应．但中性的预告信息则获得负的累计超额报酬,这表明在我国特殊的制度背景下,以随机游走模型确定未预期盈余存在一定的缺陷。同时,市场对坏消息反应更为剧烈,这说明广大投资者具备了一定的风险规避意识,市场对于不同属性的业绩预告信息的反应存在显著差异。Our paper investigate A-share＇ s interim bulletins of earnings forecasts of yearly earnings form 2001 to 2003.Our study find that this earnings forecasts Lead to obvious market＇ reaction, but the moderate earnings forecasts get negative cumulative abnormal return, which show that it have some problem if use the nave model to compute unexpected earnings in the special institute background. Comparing the market reactions to bad news with goods news, we find that market respond to bad news more acutely. We also find there are obvious distinct market response to different property of earnings forecasts.

关 键 词：业绩预告 会计盈余 市场反应 累计超额报酬 随机游走模型 

分 类 号：F830.91[经济管理—金融学]