最大日收益率效应影响投资者对业绩的反应吗  

Does MAX Effect Affects Investors'Responses to Earnings Information

作　　者：陈文博 CHEN Wenbo(Personal Credit Department,Agricultural Bank of China,Beijing 100005,China)

机构地区：[1]中国农业银行总行个人信贷部

出　　处：《中国经济问题》2024年第1期136-151,共16页China Economic Studies

摘　　要：选取我国A股市场2004年一季度至2020年二季度的数据为研究样本,使用事件研究法探索股票市场投资者对业绩信息的反应会如何被最大日收益率效应(MAX效应)影响。实证结果阐明:在面对业绩信息时,投资者会因最大日收益率效应而快速响应正未预期业绩信息,但同时会因最大日收益率效应而减慢对负未预期业绩信息的反应速度。进一步,通过聚焦价格维度进行异质性分析发现:当个股处于相对低价位、当体现股票市场总体价格水平的股指近段时间波动率较小或上涨时,最大日收益率效应会更显著影响股市投资者对业绩信息的反应。The data of China's A-share market from the first quarter of 2004 to the second quarter of 2020 are selected as the research sample to explore how stock market investors'responses to earnings information would be affected by the MAX effect using the event study method.The empirical results clarify that responses of investors to earnings information are affected by the MAX effect in two opposite directions simultaneously.Due to the MAX effect,investors will respond quickly to positive unexpected earnings information,but will be sluggish to negative unexpected earnings information in the meantime.Furthermore,heterogeneity analysis by focusing on the price dimension reveals that the MAX effect affects stock market investors'responses to earnings information more significantly when individual stocks are at relatively low prices and when the stock index,which reflects the overall price level of the stock market,is less volatile or rising in the recent period.

关 键 词：对业绩信息的反应 MAX效应 相对价格 股指波动率 股指收益率 

分 类 号：F832.51[经济管理—金融学]