信息披露与股票异常隔夜收益——来自中国A股“龙虎榜”的经验证据  

Information Disclosure and Stocks’Abnormal Overnight Return——Evidence from"Dragon and Tiger List"in China’s A Stock Market

作　　者：崔凯 肖欣荣[1] 刘岳 

机构地区：[1]对外经济贸易大学金融学院 [2]北京大学光华管理学院

出　　处：《价格理论与实践》2022年第1期117-122,174,共7页Price:Theory & Practice

基　　金：对外经济贸易大学中央高校基本科研业务费专项资金资助(19YB14)。

摘　　要：中国资本市场的规范发展离不开符合中国情况的交易制度和信息披露制度。本文基于中国A股市场特殊的信息披露制度(龙虎榜),从投资者有限注意和信息传递两个角度研究"龙虎榜"上榜事件对股票隔夜收益的影响。运用分组回归、倾向得分匹配等实证方法对中国A股日度交易数据进行检验,本文发现:"龙虎榜"事件导致次日更频繁的交易行为,且对不同投资者的交易方向影响不同;榜单披露的营业部资金流向影响投资者次日交易倾向,导致上榜股票呈现异常隔夜收益;"龙虎榜"效应在周末时段弱于普通隔夜时段,且机构持股比例和分析师关注更多的股票有更弱的上榜效应;不同上榜类型向投资者传递了不同信息,导致隔夜收益的表现不同,异常隔夜收益是投资者有限注意力和信息传递两个渠道综合作用的结果。The normative and healthy development of China’s capital market is inseparable from a trading system and an information disclosure system that are in line with China’s conditions.The unique trading and information disclosure system of China’s A-share market provide a rare case for understanding the price formation and return anomalies.The paper studies the effect of the"Dragon and Tiger List"event on stocks’overnight return through two channels:limited attention and overnight information.Analyzing China’s A stock market daily trading data using OLS and PSM methods,the paper finds that:the list event leads to more active trades,and affects different investors in different directions;the disclosed capital flow affects investors’trading behavior next day,causing stocks’abnormal overnight return;the listed effect on"weekend return"is weaker compared with other trading days,and stocks with more institutional holdings and analysts’coverage have weaker listed effect;there is different information in different listed reasons,leading to different overnight return performance,which is the result of the combined effect of both channels.

关 键 词：隔夜收益 有限注意 隔夜信息 投资者行为 龙虎榜 

分 类 号：F832.51[经济管理—金融学]