异质信念与盈余惯性——基于中国股票市场的实证分析  

Heterogeneous Beliefs and Earning Momentum:Evidence from China's Stock Market

作　　者：陈国进[1] 张贻军[1] 王景[1] 

机构地区：[1]厦门大学王亚南经济研究院,福建厦门361005

出　　处：《当代财经》2008年第7期43-48,共6页Contemporary Finance and Economics

基　　金：教育部人文社会科学基地重大项目(05JJD790026);教育部"新世纪优秀人才支持计划"(NCET-05-0576)

摘　　要：以2003-2005年沪深两市上市公司为样本,以意外成交量作为异质信念的代理变量,通过检验异质信念与盈余惯性的关系,发现盈余公告后续的长期收益随着投资者对年报信息意见分歧的增大而严格减小。这一研究支持了Miller(1977)假说;同时也表明在投资者对盈余信息存在异质信念的情形下,中国股市禁止卖空的制度性缺陷将悲观投资者拒之门外,而乐观投资者推动股价高估,导致股票和市场都存在较大的投机性泡沫。This paper provides an empirical evidence of the relation between heterogeneous beliefs and the earning momentum by sampling A-shares listed firms on SHSE and SZSE from 2003 to 2005.We measure heterogeneous beliefs with Unexpected Trade Volume and find that the post-event returns strictly decrease as the disagreement of investors to information of Annals increases. We lend support to Miller （1977） hypothesis and also show that the stock price is determined by the optimistic investors because the short-selling constrain in our country and stops the pessimistic ones＇ trading, and thus the stock price contains speculative bubble.

关 键 词：异质信念 卖空限制 盈余惯性 

分 类 号：F830.91[经济管理—金融学]