投资者异质信念与证券市场盈余公告效应研究  

A Study of Investors Heterogeneous Beliefs and the Post-Earnings Announcement Drift in the Securities Market

作　　者：周晖[1] 朱党辉[1] 

机构地区：[1]湖南大学工商管理学院,湖南长沙410082

出　　处：《湖南大学学报（社会科学版）》2014年第1期71-78,共8页Journal of Hunan University(Social Sciences)

基　　金：教育部留学回国人员科研启动基金项目([2012]1707)

摘　　要：盈余公告效应异象在各国资本市场普遍存在,行为金融理论中的投资者异质信念视角能较好地解释该异象。实证结果表明:投资者异质信念与盈余公告前后短期内累积超额收益率显著正相关,与盈余公告后长期累积超额收益率显著负相关;其中,低盈余质量强化了这种负向影响。投资者异质信念程度越大、盈余质量越低,长期累积超额收益率越小。Post-earnings announcement drift is very commom on countries capital markets.The hetero-geneous beliefs can explan this anomaly preferably.The empirical test results show that there is a signifi-cant positive（negative）correlation between investors heterogeneous beliefs and cumulative abnormal return short-term around （long-term after ） the earnings announcement,and the low earnings quality may strengthen this negative impact.With greater heterogeneous beliefs and lower earnings information quality, the long-term cumulative abnormal return will be smaller.

关 键 词：投资者异质信念 盈余公告效应 盈余质量 

分 类 号：F832.48[经济管理—金融学]