季度现金流信息的市场反应实证研究

Capital Market's Response to Seasonal Cash Flow Information

本文补充了现金流量信息市场反应的文献。选择深沪两市共85家在2004年4月28日公布季度报表的A股上市公司为样本,采用事件法检验现金流量信息的市场反应。实证结果发现,我国的证券市场对于季度现金流量信息反应较弱,投资者基本上不关注季度现金流量信息。本文进而根据未预期盈余对样本进行分组,重新检验了市场对于不同盈余公司的现金流信息的市场反应,研究发现市场对于好消息公司的现金流信息的反应比坏消息公司更为敏感。

This paper studies the security market s response to the cash flow information disclosed in seasonal financial statements.According to the evidence of 85 listed companies which disclosed their cash flow statements on April 28,2004,this paper checks the market s response using event study,the author has found that Chinese capital market makes no response to seasonal cash flow,while the earnings information is an other case.After classifying the sample companies into good news group and bad news group,we have...