有限注意力如何影响盈余公告后漂移异象:基于中国A股市场的实证研究  

How Attention Constraints Affect Post-earnings Announcement Drift:Evidence from the Chinese A-share Market

作　　者：丁明发 李思雨 王昊 沈蜜 DING Ming-fa;LI Si-yu;WANG Hao;SHEN Mi

机构地区：[1]中央财经大学中国金融发展研究院 [2]美国埃默里大学

出　　处：《中央财经大学学报》2021年第6期27-38,共12页Journal of Central University of Finance & Economics

摘　　要：本文试图从有限注意力理论出发,解释我国A股盈余公告后的市场异象。研究发现:首先,市场在有行情时盈余公告后漂移现象比市场无行情时更强。即使笔者选择不同的事件窗口,或者使用业绩快报作为事件日,或者控制其他相关变量(例如周五效应、公司市值、分析报告数量),该现象依然在统计意义上显著。其次,机构投资者持股对盈余公告后漂移现象有显著影响,具体体现为在机构投资者持股比例高的情况下,盈余公告后漂移现象更不明显,受市场行情的影响也更小。最后,在有市场行情时公告前个股部分信息泄露所带来的超额回报也明显减弱。研究结果扩展了现有文献的研究成果,进一步证明了由于注意力有限,投资者们对于整体市场信息的关注程度会高于个股,从而造成对个股盈余公告后漂移程度的影响。This paper seeks to explain the anomaly that occurs after earnings announcement in the Chinese A-Share market using the theory of attention constraints.First,we find that the effect of post-earnings announcement drift(PEAD)is significantly stronger on market moving days than non-market moving days.Our results are robust when using different event windows,or using preliminary earnings announcement as an event day,or after controlling for other relevant variables(such as friday effect,firm size,the number of analyst reports).Second,we find that investors are less speculative towards individual stocks before announcement on market moving days.Third,we find that an increase in institutional ownership will weaken the PEAD effect.Our findings extend the existing literature by suggesting that investors focus more on market information than firm-specific information on market moving days since their attentions are limited.

关 键 词：盈余公告后漂移 有限注意力假说 市场行情 

分 类 号：F275[经济管理—企业管理] F832.5[经济管理—国民经济]