投资者意见分歧对盈余公告效应影响的实证研究  

An Empirical Analysis of Investors' Opinion Divergence to Post-Earnings Announcement Drift

作　　者：周晖[1] 邹建国[1] 葛琦[1] 

机构地区：[1]湖南大学工商管理学院,湖南长沙410082

出　　处：《财经理论与实践》2008年第5期55-59,共5页The Theory and Practice of Finance and Economics

基　　金：国家社会科学基金资助项目(07AJL005);湖南省社会科学基金资助项目(05ZC50)

摘　　要：从投资者意见分歧的角度对盈余公告效应进行理论解释,借鉴衡量投资者意见分歧的模型对中国股票市场的盈余公告效应进行实证检验,研究结论认为:我国的股票市场表现出了明显的盈余公告效应,投资者意见分歧对盈余公告效应具有很好的解释作用。在研究期内,投资者意见分歧与股票组合的累积异常收益率呈正相关关系。This article interprets the Post-Earnings Announcement Drift from the aspect of the Investors＇ Opinion Divergence theoretically, and demonstrates the Post Earnings Announcement Drift of Chinese stock market by taking the measuring model of the Investors＇ Opinion Divergence. It is concluded that the Post Earnings Announcement Drift, which can be well explained by the Investors＇ Opinion Divergence, carries out apparently in the stock market of China. And during the research period, Investors＇ Opinion Divergence has a positive relationship with Cumulative Abnormal Return.

关 键 词：盈余公告效应 投资者意见分歧 累积异常收益率 截面回归分析 

分 类 号：F830.59[经济管理—金融学]