货币政策公告与盈余公告后漂移——基于投资者有限注意力视角  

Monetary Policy Announcement and Post-Earnings Announcement Drift--A Limited Attention of Investors Perspective

作　　者：杜修立[1] 施会全 孔傲 DU Xiu-li;SHI Hui-quan;KONG Ao

机构地区：[1]南京财经大学金融学院,南京210023

出　　处：《金融论坛》2023年第6期26-36,共11页Finance Forum

基　　金：国家社会科学基金一般项目“政府干预下我国股票市场稳定与有效的冲突及对策研究”(20BJY250)资助。

摘　　要：本文选取货币政策公告事件与中国A股市场公司盈余公告事件为样本,实证分析货币政策公告对股价盈余公告后漂移(PEAD)的影响及其背后的注意力分配机制。结果发现:第一,在货币政策公告日发布盈余公告的企业,其股价盈余公告后漂移更强;第二,在货币政策公告日,投资者降低了对于盈余公告的注意力。本文结果说明货币政策信息的出现可以分散投资者注意力,进而削弱了股价信息效率。This paper selects monetary policy announcement events and corporate earnings announcement events in China's A-share market as samples to empirically analyze the impact of monetary policy announcements on post-earnings announce-ment drift(PEAD)of stock price earnings and the underlying attention allocation mechanism.The results show that:firstly,companies that release earnings announcements on the day of monetary policy announcements have a stronger PEAD in their stock price;secondly,on the day of the monetary policy announcement,investors reduced their attention to earnings an-nouncements.The results indicate that the emergence of monetary policy information can distract investors'attention,thereby weakening the efficiency of stock price information.

关 键 词：货币政策公告 盈余公告后漂移 有限注意力 信息效率 

分 类 号：E52[军事—军事理论] G12[文化科学] O16[理学—数学]