市场类型与盈余公告后的价格漂移现象:基于A、B股的比较  

The Types of Market and Post-earnings-announcement Drift:Based on a Comparison Between A-share and B-share in China

作　　者：张雯[1] 张胜[2] 陈思语 ZHANG Wen1, ZHANG Sheng2, CHEN Siyu3(1. School of Economics and Management, Beijing Information Science ＆ Technology University, Beijing 100192; 2. School of Accounting, Zhongnan University of Economics and Law, Wuhan 430073, China; 3. Investment Center, State Administration of Foreign Exchange, Beijing 100032, Chin)

机构地区：[1]北京信息科技大学经济管理学院,北京100192 [2]中南财经政法大学会计学院,湖北武汉430073 [3]国家外汇业务中心,北京100032

出　　处：《财经论丛》2018年第6期65-75,共11页Collected Essays on Finance and Economics

基　　金：国家社会科学基金青年项目(17CJY068);教育部人文社会科学研究基金青年项目(15YJC790147)

摘　　要：本文以A、B股并存这一中国独特的制度背景,研究了市场类型对盈余公告后价格漂移现象(PEAD)的影响极其机理。研究结果表明,市场类型对于PEAD程度有显著影响,A股PEAD程度显著大于B股。进一步的研究结果表明,A股市场的信息噪音、投机动机和投资需求均显著大于B股市场,这是导致这两个市场的PEAD存在显著差异的重要原因。本文利用一个独特的制度背景,研究发现市场类型是影响PEAD的重要原因,丰富了相关领域的文献,对投资者和监管层都具有重要的借鉴意义。This paper selects A ＋ B dual-listed firms to investigate the reasons that cause the difference of PEAD between the two markets. The empirical test result shows that there is more information voice,speculative trading and investment demand in A-share than in B-share,and these differences play a crucial role in the PEAD of segmented markets. The results also indicate that A-share firms have larger cumulative abnormal returns after earnings announcement than B-share firms. The conclusion of the researchreveals the irrational atmosphere in A-share and vitality deficiency in B-share. This paper enriches the literature of related fields and has great significance for investors and regulators.

关 键 词：PEAD 分割市场 A+B双重上市 累积超额收益率 

分 类 号：F275[经济管理—企业管理] F832.51[经济管理—国民经济]