业绩预告的市场反应研究被引量：48

The Market Reaction of Earnings Forecasts

导出

摘要本文以业绩预告信息为例,研究会计盈余的市场反应问题。我们的研究发现,关于年度会计盈余的业绩预告引起了明显的市场反应．但中性的预告信息则获得负的累计超额报酬,这表明在我国特殊的制度背景下,以随机游走模型确定未预期盈余存在一定的缺陷。同时,市场对坏消息反应更为剧烈,这说明广大投资者具备了一定的风险规避意识,市场对于不同属性的业绩预告信息的反应存在显著差异。 Our paper investigate A-share＇ s interim bulletins of earnings forecasts of yearly earnings form 2001 to 2003.Our study find that this earnings forecasts Lead to obvious market＇ reaction, but the moderate earnings forecasts get negative cumulative abnormal return, which show that it have some problem if use the nave model to compute unexpected earnings in the special institute background. Comparing the market reactions to bad news with goods news, we find that market respond to bad news more acutely. We also find there are obvious distinct market response to different property of earnings forecasts.

作者杨德明林斌

机构地区中山大学管理学院

出处《经济管理》 CSSCI 北大核心 2006年第16期26-31,共6页 Business and Management Journal ( BMJ )

基金国家自然科学基金项目"不确定性会计理论与方法研究"(项目批准号:70072037)资助项目。

关键词业绩预告会计盈余市场反应累计超额报酬随机游走模型 earnings forecasts accounting earnings market＇ reaction cumulative abnormal return random walk model

分类号 F830.91 [经济管理—金融学]

引文网络
相关文献

参考文献11

1Ball,R.J. ,P. Brown, 1968, An empirical evaluation of accounting income numbers, Journal of Accounting Research, 6.
2Baginski,s. ,Conrad,E. ,Hassell,J. ,1993, The effects of management forecast precision on equity pricing and on assessment of earnings uncertainty, Accounting Review,68.
3Chen, C. ,S. Chen. ,X.Su., 2001, Is accounting information value-relevant in the emerging Chinese stock market?Journal of International Accounting,Auditing & Taxation, 10.
4Clarkson, P. M., A. Dontoh., G. Richardson., S. E. Sefcik, 1992, The voluntary inclusion of earnings forecasts in IPO prospective, Contemporary Accounting Research, 8.
5Lev,B., 1989, On the usefulness of earnings and earnings research., lessons and directions from two decades of empirical research, Journal of Accounting Research, 8.
6M. Clement., R. Frankel., J. Miller., 2003, Confirming management earnings forecasts, earnings uncertainty, and stock returns, Journal of Accounting Research,41.
7Pownall,G., Waymire,G., 1989, Voluntary disclosure credibility and securities prices evidence from management earnings forecasts, Journal of Accounting Research, 27.
8Pownall, G. ,Wasley, C., Waymire,G., 1993, The stock price effects of alternative types of management earnings forecasts, Accounting Review, 68.
9Skinner,D., 1994, Why firms voluntarily disclose bad news, Journal of Accounting Research,32.
10赵宇龙.会计盈余披露的信息含量——来自上海股市的经验证据[J].经济研究,1998,33(7):41-49. 被引量：473