股票交易量对年报盈余信息反应的实证研究  

An Empirical Analysis of Trading Volume's Reaction to Annual Earnings Announcement

作　　者：张庆翠[1] 

机构地区：[1]天津大学管理学院,天津300072

出　　处：《财经理论与实践》2003年第6期44-48,共5页The Theory and Practice of Finance and Economics

摘　　要：利用事件研究方法 ,从交易量反应的视角检验了 1999— 2 0 0 1年度的市场交易量与年报中的盈余信息以及能够预示年报信息提前泄漏程度的公司规模之间的相关关系。实证结果发现 1999年度 ,非预期盈余与超常交易量之间并不存在显著的相关关系 ,而公司规模与超常交易量之间存在显著的正相关关系 ;2 0 0 0年度及 2 0 0 1年度 ,年报中公司非预期盈余越大 ,市场的超常交易量反应越强烈 ,且市场对非预期盈余为负的信息更敏感 ;2 0 0 1年度的公司规模与超常交易量之间呈现出显著的负相关关系。深刻表明我国股市及投资者日趋成熟 ,关注内在价值的投资理念正逐渐被市场选择。This paper verifies the volume of securities traded and earnings information in annual financial reports, and the relationship of firm with and the ahead telltale degree of annual financial reports from 1999 to 2001 with event study method. Empirical results show that there is no significant correlation between unexpected surplus and abnormal trading volumes, but there is a significant positive correlation between firm size and abnormal trading volumes in 1999. Unexpected surplus is large, and reaction of trading volumes is violent in 2000 and 2001. There is a significant negative correlation between firm size and abnormal trading volumes in 2001. These show that the investors in our stock market turn to more and more mature, they now are interested in value of the listed corporations.

关 键 词：年报 非预期盈余 超常交易量 公司规模 实证研究 公司 

分 类 号：F276.6[经济管理—企业管理] F830.91[经济管理—国民经济]