流动性与盈余公告后价格漂移研究  

Post-earning-announcement Drift Anomaly and Liquidity:Empirical Evidence from Chinese 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：《证券市场导报》2008年第9期30-37,共8页Securities Market Herald

基　　金：国家社会科学基金重点项目(批准号07AJL003)

摘　　要：本文实证检验了流动性与盈余惯性现象之间的关系。首先,坏消息具有更差的流动性,表明坏消息(低标准化未预期盈余(SUE))的股票比好消息股票(高SUE)具有更大的不确定性,处于更高成本的信息环境中。其次,盈余惯性收益可以部分地解释为流动性补偿,换而言之,具有好消息的股票比坏消息股票对流动性更敏感。本文采用了CAPM以及Fama-French三因素方法,发现投资者并没有对盈余公告信息作出及时和准确的反应,这在某种程度上表明,投资者对盈余预期的高估在于采用了不恰当的定价模型。当流动性作为风险因素引入定价模型时,投资者的行为在某种程度上可以得到更好的解释。This paper investigates the relation between the post-earning-announcement drift anomaly and liquidity. First, Ⅰ find that on average, bad-news firms （low standardized unexpected earnings, SUE） are less liquid than good-news firms （high SUE）, which indicates that bad-news firms are subject to a more uncertain and costly information environment. Second, Ⅰ find that PEAD can be partially interpreted as compensation for liquidity. Prior studies find that CAPM and Fama-French benchmark pricing model fail to adjust the risk premium. But when a liquidity factor is introduced into the pricing model, investors＇ behavior could be better explained to some extent.

关 键 词：流动性 盈余公告后漂移(PEAD) 市场效率 

分 类 号：F830.9[经济管理—金融学]