PMI指数发布与A股市场的盈余公告后的股价漂移  

PMI Index Release and Post-Earnings-Announcement Drift in A-Share Market

作　　者：邓伟[1] 赵丹阳 何斌锋[2] DENG Wei;ZHAO Dan-yang;HE Bin-feng(School of Finance,Nanjing University Of Finance&Economics;College of Lifelong Education,Nanjing University)

机构地区：[1]南京财经大学金融学院,江苏南京210046 [2]南京大学终身教育学院,江苏南京210093

出　　处：《当代金融研究》2024年第9期18-34,共17页Journal of Contemporary Financial Research

基　　金：国家自然科学基金项目“股票市场个体投资者异质信念问题研究:基于动态演化的视角”(72201122)。

摘　　要：PMI指数是一种前瞻性的高频宏观信息,它的发布时间与部分上市公司盈余公告的发布时间重叠,这分散了投资者对盈余公告的注意力,延缓了投资者对盈余公告的反应速度。基于2018-2023年A股上市公司数据,实证结果表明,当上市公司的盈余公告与PMI指数同时发布时,盈余惯性会比较大。进一步研究表明,当PMI指数低于预期、公司所在的行业为强周期性行业、分析师关注度较低,PMI指数的发布对盈余惯性的正向影响更为显著。研究结论包括三个方面的意义:第一,证券投资者可以利用这种异象进行股票操作,在上市公司的盈余公告与PMI指数同时发布之时,买入业绩预期差为正的股票,卖空业绩预期差为负的股票;第二,上市公司发布利好的盈余公告应该尽量避开PMI指数发布的时间,发布利空的盈余公告则应该相反;最后,证券市场的监管者应该在PMI指数等宏观信息发布的时间段加强对上市公司的监督,以防上市公司利用投资者的注意力分散的机会降低盈余公告质量。PMI index is a kind of forward-looking high-frequency macroeconomic information,and its release time overlaps with the release time of some listed companies'surplus announcements,which delays investors'reaction speed to listed companies'surplus information.Based on the data of listed companies in A-shares from 2018-2023,the empirical results show that the surplus inertia of listed companies will be larger when their surplus announcements are released at the same time as the PMI index,and further research also shows that when the PMI index is lower than expected,the industry in which the company is located is a strongly cyclical industry,and analysts pay less attention to it,the positive effect of the release of the PMI index on the surplus inertia is more significant.The conclusions have three implications.First,security investors can use this anomaly to trade stocks.When a listed company's earnings announcement is released at the same time as the PMI index,they can buy stocks with positive expected performance and short sell stocks with negative expected performance.Second,listed companies should try to avoid the time of PMI index release when releasing a favorable earnings announcement,and vice versa when releasing an unfavorable earnings announcement;finally,securities market regulators should strengthen supervision of listed companies during the time period when macroeconomic information such as the PMI index is released,to prevent listed companies from taking advantage of investors'distracted attention to reduce the quality of earnings announcements.

关 键 词：PMI指数 盈余公告 盈余惯性 投资者关注度 宏观信息 

分 类 号：F234.4[经济管理—会计学]