定期公告中的盈余信息与订单流不平衡  

Earnings Information and Order Imbalance around Periodical Reports

作　　者：王春峰[1] 孙金帅[1] 房振明 黄晓彬[1] 

机构地区：[1]天津大学管理与经济学部,天津300072 [2]渤海证券股份有限公司,天津300381

出　　处：《北京理工大学学报（社会科学版）》2013年第2期71-76,共6页Journal of Beijing Institute of Technology：Social Sciences Edition

基　　金：国家自然科学基金资助项目(71271146);教育部长江学者和创新团队发展计划资助项目(IRT1028);教育部人文社会科学研究青年基金资助项目(11YJC630067)

摘　　要：采用事件研究的方法,选取中国A股非金融类上市公司的季度财务报告,研究了公告前后的订单流不平衡与盈余信息的关系。研究发现:盈余宣告前,市场上存在盈余信息提前泄漏的现象,订单流不平衡与盈余信息基本表现为显著正相关;盈余宣告日,订单流不平衡与盈余信息基本显著正相关;盈余宣告后,盈余信息需要一段时间才能够融入到交易价格中,表明中国股票市场尚未达到半强有效市场程度,之后盈余信息对订单流不平衡不再产生显著影响。同时,还发现订单流不平衡和盈余信息的关系一定程度上受到订单流不平衡序列自相关性的影响。This paper selects the quarterly financial reports of China＇s A-share non-financial listed companies,studies the relationship between order imbalance and earnings information before and after the earnings announcement with event study method.The results show that,there is a phenomenon of early leakage of earnings information on the market before earnings announcement.On and before the declaration date of earnings announcement,order imbalance and earnings information have the basic performance of significant positive correlation relationship.After the earnings announcement,it needs some time to take the earnings information into the transaction price,which shows that China＇s stock market has not yet reached semi-strong efficient market level,and earnings information no longer has a significant impact on order imbalance later.We also find that,to some extent,the sequence autocorrelation of order imbalance has an impact on the relationship between earnings information and order imbalance.

关 键 词：定期公告 盈余信息 非预期盈余 订单流不平衡 

分 类 号：F830.91[经济管理—金融学]