摘要
以我国证券市场为背景,研究了机构持股与盈余公告后股价漂移现象之间的关系。与国外的结论不同,中国证券市场在较短的时间窗口内机构持股没有减轻价格漂移的程度,在较长的时间窗口内机构持股反而加重了价格漂移的程度,这与国外实证检验所假设的机构投资者比个人投资者更精明或更富有经验的前提不符,对上述结论提出了三种可能的解释。
This paper studies the relationship between post earnings announcement drift（PEAD） and institutional holding, and concludes that in domestic securities market, institutional holding does not alleviate the magnitude of PEAD in short window time, but institutional holding aggravate the magnitude of PEAD in long window time. The conclusion is not consistent with the assumption that institutional investor is sophisticated investors. Three possible explanations for the result are propsed.
出处
《管理科学》
CSSCI
2006年第1期85-91,共7页
Journal of Management Science
关键词
机构投资者
会计盈余
公告效应
institutional investor
accounting earnings
post earnings announcement drift（PEAD）
