卖空约束与盈余信息含量  

Short-sale Constraints and the Informativeness of Earnings

作　　者：陆贤伟[1] 王建琼[1] 马丽莎[1,2] 

机构地区：[1]西南交通大学经济管理学院,四川成都610031 [2]成都理工大学商学院,四川成都610059

出　　处：《系统工程》2013年第7期28-36,共9页Systems Engineering

基　　金：国家自然科学基金资助项目(71271174)

摘　　要：利用我国A股上市公司盈余公告数据,实证检验在不同卖空约束下盈余公告信息含量。结果表明,与限制卖空相比,盈余公告在允许卖空时市场反应更强烈;当盈余信息为好消息时,由卖空约束差异带来的超额收益差异会随着时间的推移而被投资者淡化,但坏消息则不然。此外,在允许卖空的条件下,市场对坏消息能提前反应且受到的负向冲击更持久。进一步的回归分析发现,在允许卖空的条件下,投资者意见分歧加剧了盈余公告的市场反应,并在好消息时得到增强。Based on earnings announcement data, this paper empirically tests the Informativeness of Earnings under different short-sale constraints. The results show that, announcement effect of earnings is more intense without short-sale constraints; the difference of CAR caused by different short-sale constraints woul^t be overlooked by investors over time under good news. In addition, with short-sale constraints, markets can respond to had news in advance and the negative impact on them lasts longer. Further regression analysis shows that under the conditions of allowing short-sale, investors＇ disagreement intensifies the market reaction to earnings announcements, and the effect is stronger in the case of good news.

关 键 词：卖空约束 盈余信息含量 投资者意见分歧 

分 类 号：F830[经济管理—金融学]