我国股市盈余公告的“周历效应”与“集中公告效应”研究  

The Study on Week Day Effect and Announcement Concentration Effect of Earning Announcement in China′s Stock Market

作　　者：谭伟强[1] 

机构地区：[1]香港城市大学经济与金融系

出　　处：《金融研究》2008年第2期152-167,共16页Journal of Financial Research

基　　金：国家社会科学基金的资助(编号:07AJL003)

摘　　要：基于心理学的"有限注意"观点,本文检验了我国股市盈余公告后投资者对于不同公布时机盈余信息的不同反应,发现我国盈余公告存在显著的"周历效应"和"集中公告效应"。同时,本文发现我国上市公司在选择盈余信息披露时机时,倾向于在周六公布坏消息以减少投资者的关注程度。Based on the theory of ＂limited attention＂, this paper tests the investor＇s reaction to the earning announcement in different timing. The result shows that there exists significant ＂Week Day Effect＂ and ＂Announcement Concentration Effect＂, and more investors neglect of the announcement information while the earning information disclose on Monday, Friday and Saturday. The author also finds that the listed company prefers to disclose bad earning news on Saturday. The disclosure timing can decrease investors＇ attention to some extent.

关 键 词：盈余公告后价格漂移(PEAD) 有限注意 公告效应 

分 类 号：F832.51[经济管理—金融学] F224