上市公司财报利润信息与股价累计超额收益率相关关系的实证研究——基于Logit模型  

Research on the Correlation Between Profit Information andCorresponding Cumulative Abnormal Return from ListedCompanies in China:Based on Logit Model

作　　者：朱景明 ZHU Jingming(Antai College of Economics and Management,Shanghai Jiao Tong University,Shanghai 200030,China)

机构地区：[1]上海交通大学安泰经济与管理学院,上海200030

出　　处：《上海管理科学》2023年第2期68-72,共5页Shanghai Management Science

摘　　要：选股模型和股价预测一直是学者们研究的重点。文章基于A股投资的背景,使用Logit模型,分析了上市公司财报利润信息与财报公告日前后三天的累计超额收益率之间的相关关系。结果发现,这一关系为显著的正向相关关系。然后,通过划分行业进一步分析了这一相关关系,并基于分析所得的利润信息和行业信息提出了一个简单、易操作的选股模型。最后,通过选股验证,发现基于该模型的每一次调仓交易都可以获得令人满意的超额收益。这一结果可以为A股投资者的选股投资提供参考。Stock selecting models and stock price predicting models have been the focus of scholars for decades.Based on the background of stock investing in China,the correlation between profit information and cumulative abnormal return is researched in this paper by using Logit model.It turns out that there is significant positive correlation between these two variables.After that,correlations of the two variables from different industries also get tested.Then,based on the results above,a simple and easily understandable stock selecting model is put forward and it turns out that this selecting model can help investors get acceptable profit from less-frequent stock trading,which gives a good investing reference.

关 键 词：实证分析 LOGIT模型 累计超额收益率 选股模型 

分 类 号：F832.48[经济管理—金融学]