盈余信息预披露与股票价格行为的研究

Study on Predisclosure Earnings Information and Shock Price Behavior

从上证A股所有股票中选出了大公司股票与小公司股票各80家,以2002年—2004年为研究区间,通过构建计量经济模型来研究我国股市是否存在未预期的股票价格对盈余信息反映是公司规模的减函数,即“规模效应”.实证研究表明,我国上证A股市场不支持这一假说.说明了我国上市公司的会计信息含量还远远满足不了投资者的需求,若提高盈余报告时效性和盈余信息内容的可信性,才能增加投资者信息收集的动力,促进股票价值的理性回归,保护投资者利益.

This paper selects eighty large stocks and eighty small stocks respect ively from A share SHANGHAI STOCK EXCHANGE from 2002 to 2004, and examines if unexpected response of stock price to earnings information decrease according to firm size, namely ＇size effect＂ in CHINA STOCK MARKET through constructing econometric model. Empirical study indicates that this hypothesis is not supported in A share SHANGHAI STOCK EXCHANGE, and further point out that content of earnings information of CHINA listed company cannot meet investors＇ need. If timely earnings reports are easily obtained and content of earnings information are more creditable, incentive of investors collecting involved information will increase, which could make stock price bounding towards its real value and protect investors＇ nterest.