投资者情绪与盈余公告效应  

The Influence of the Crporation's Earnings Announcement on the Investor's Sntiment

作　　者：李庭燎[1,2] 陈良华[1,1] 

机构地区：[1]东南大学经济管理学院 [2]南京审计学院信息管理系

出　　处：《投资研究》2015年第12期112-127,共16页Review of Investment Studies

基　　金：国家自然科学基金面上项目(71572080,71272111);国家社会科学基金项目“内部资本市场对企业集团成长的作用机制研究”(11BGL022)

摘　　要：通过股票价格变化来表征盈余公告效应对投资者情绪影响。结合前人研究,投资者情绪对盈余公告后的价格效应存在影响,且不同市场参与者类型所带来的投资者情绪在一定程度上对股票价格呈显著差异性影响。而后通过构造综合情绪指数分析我国A股、B股交叉上市公司年度盈余公告期间股票异常收益率,予以论证。研究表明:中国A股和B股市场的股票价格变化对于公司好坏盈余消息的反应与理论预期存在较大差异。无论对好消息还是坏消息,A股价格更容易受到投资者情绪的影响,而B股市场受投资者情绪影响相对较小。The change of the stock prices can be used to demonstrate the influence of the corporation＇s earnings announcement on the investor＇s sentiment. Combined with previous researches, it is pointed out that the investors＇ sentiment has a significant impact on stock price, and the invertors＇ sentiment brought by different types of market participants has also a significant impact on stock price to some extent. Besides, the index of comprehensive sentiment is used to analyze the abnormal stock return rate during the period of the annual earnings announcement of A and B shares interlocking corporations in China, which is used to demonstrate my viewpoints. The study shows that there exists a distinct difference between the reaction of the stock price in the A stock market and the B stock market on hearing the corporation＇s earnings announcement and the theoretical expectation. When the corporation＇s earnings announcement arrives, the price of A shares is more likely to be influenced by the investors＇ sentiment, no matter whether it is good news or bad news. However, B shares market is hardly affected by the investors＇ sentiment.

关 键 词：投资者情绪 交叉上市 盈余公告 股票定价 

分 类 号：F832.51[经济管理—金融学] F842.6