摘要
文章对公司的盈余成分持续性及股价反应进行研究,发现相对于应计盈余,现金盈余有较高的盈余持续性及累计超额报酬解释力。进一步分析应计盈余最高和最低组在事件日前后累计超额报酬的表现时,发现了二组呈现交叉反转的现象。最后发现我国投资者不能完全理解盈余性质差异对企业价值的影响,按应计盈余大小构建的套利组合能获取18%的超额收益。
The paper investigates whether current earnings performance persists into future and stock price reaction is depended on the components of earnings.Comparing to accrued components of earnings,cash flow components of earnings has more explanatory ability for abnormal returns and higher persistence.We also find cumulated abnormal returns in the(highest and lowest) accrued components of earnings revert gradually and intersect each other.Eventually we find that investors inability to distinguish correctly betw...
出处
《清华大学学报(哲学社会科学版)》
CSSCI
北大核心
2006年第S1期13-20,共8页
Journal of Tsinghua University(Philosophy and Social Sciences)
关键词
盈余持续性
应计盈余
市场效率
earning persistence
accrual
market efficiency