基于信息网络视角的机构持股与盈余公告市场反应研究  

Research on Stock Holdings of Institutional Investor and Market Reaction to Earning Announcement-Based on Information Network Perspective

作　　者：王雪[1] 郭庆云[2] 罗荣华[2] 周静[3] WANG Xue;GUO Qing-yun;LUO Rong-hua;ZHOU Jing(School of Accounting,Southwestern University of Finance and Economics,Chengdu 611130,China;School of Finance,Southwestern University of Finance and Economics,Chengdu 611130,China;School of Statistics,Renmin University of China,Beijing 100872,China)

机构地区：[1]西南财经大学会计学院,四川成都611130 [2]西南财经大学金融学院,四川成都611130 [3]中国人民大学统计学院,北京100872

出　　处：《中国软科学》2018年第11期172-183,共12页China Soft Science

摘　　要：本文利用基金重仓持股作为信息连接依据构建了信息网络,研究基金之间的信息扩散强度如何影响到公司盈余公告的市场反应。本文的实证分析发现,在盈余公告发布之前,股票所处信息网络的网络密度越高,越能加快股价对盈余信息的吸收速度,并且公告后不容易出现反应过度和反应不足的现象。由于网络密度越高,基金之间信息扩散越快,这一发现意味着基金之间的信息扩散有利于减小意见分歧,从而更有效地促进盈余信息融入股价,提高市场定价效率。进一步的分析还发现基金网络促进了股价对盈余消息的提前准确反应主要体现在公司治理较好的样本,表明基金网络虽然有利于私有信息扩散,但并未扩散内幕消息。本文的研究结论肯定了机构投资者的市场功能,对于理解机构投资者网络在盈余信息定价所起到的作用也有着重要意义。In this article, we construct the information network based on common stock shareholdings of mutual funds, and then explore the influence of information exchangeamong fund managers on market reaction to earning announcements. Our empirical analysis show that, before earnings announcement, the higher the network density of the stock information network is, the faster the stock price will be reflected into the earnings information. Moreover, it is less prone to overreact or underreact after the date of announcement. Due to the higher density of information network, the communication among funds become better and it further leads to a reduction in the dis-agreement between funds. This also effectively promotes the earnings information reflected into the stock price, improving the market pricing efficiency. Further analysis shows that this function of information network mainly reflected in better corporate governance. The research findings of this paper affirm the market function of institutional investors, and it is also important to understand the role of information network in the pricing of earnings information.

关 键 词：机构投资者 网络密度 盈余公告 市场反应 

分 类 号：G11[文化科学] G12