股价涨跌停事后反应:异质信息的影响  

Stock Returns after Price Limit Closes: The Impact of Heterogeneous Information

作　　者：刘迪[1] 

机构地区：[1]上海财经大学金融学院,上海200083

出　　处：《管理工程学报》2015年第2期240-250,共11页Journal of Industrial Engineering and Engineering Management

基　　金：上海财经大学研究生创新基金资助项目(CXJJ-2013-314)

摘　　要：本文以股价单日涨跌停事件为研究对象,检验了在基本面信息、概念信息、行业信息和其他信息下的股价事后反应。本文以分析师评级报告作为基本面信息的代表,以概念股和行业股异动作为概念和行业信息的代表。实证结果发现:涨停和跌停后,有基本面信息的样本组出现动量效应;涨停后,有行业信息和其他信息的对照组样本有相同的反转效应,概念信息样本组有更严重的反转效应;跌停后,所有信息下的样本都没有出现反转效应。本文的研究表明,涨跌停时,投资者对异质信息有不同的反应:投资者对基本面信息存在一定的反应不足;涨停时投资者对行业信息和其他信息反应过度,对概念信息反应过度更为严重;跌停时投资者对于所有信息都不存在反应过度。A large amount of evidence shows stock prices are predictable. The overreacting and underreacting from investors leads lots of anomalies in security markets, including momentum and reversal effect. Many researches are questing, under which circumstance investors tend to overreact or underreact, both on theory and empirical fronts. Literatures suggest large price moves can be driven by publicly available information, and patterns of traders＇ reaction to information results in momentum and reversal. A number of behavioral finance models and empirical results show investors tend to underreact to fundamental information and overeat to other information. This paper using single price limit closes in China A-share market as target event to study investors＇ reaction trader heterogeneous information. I divide public information into fundamental information, concept information and industry information. My methodology is similar with Savor（2004）. In this paper, I choose recommendation-issuing analyst reports as a proxy for fundamental information, major price changes of industry and concept portfolios as proxies for industry and concept information. I match the price limit closes event with the information ~nd construct three groups and a control group with other information, and then I calculate cumulative abnormal returns （CAR） with Fama-French three factors adjusted after limit close events in all groups. Under Student＇s t-test and Wilcoxon signed rank test, after price at limit up closes, the CARs of group with analyst reports do not experience significant reversal effect, and CARs tend to drift up when analyst raise the ratings. Stock prices of control group and industry information group results in significant reversals. In addition, prices of concept information group have stronger reversals effect. The two-sample tests also confirm that CARs are more positive with analyst reports and more negative with concept information after limit up close. While in the limit down close sample, the two-sample tes

关 键 词：涨跌幅限制 过度反应 分析师报告 概念股 

分 类 号：F830.9[经济管理—金融学]