关于投资者对股票基本面消息反应的研究——基于1994—2006年中国A股面板数据

A Research on Investors' Reaction to the information about the Fundamental Situation of Stocks——A Study Based on China's A Share Panel Data in 1994-2006

通过采用收益率波动分解的研究框架对上海证券交易所和深圳证券交易所A股1994-2006年面板数据进行分析,本文发现A股投资者的预期收益率随着投资者对公司利润预期的上调而提高,导致A股收益率实际的上升幅度小于公司利润增长的幅度。这说明中国投资者对股票基本面消息没有过度反应,上市公司规模、向量自回归模型系数矩阵和协方差矩阵的不同假设都不影响这一结论的稳健性。

The author uses the research frame of return rate volatility decomposition to analyzes the panel data of Shanghai Stock Exchange and Shenzhen Stock Exchange in 1994 - 2006 and finds that the expected return rate of A share investors increases with the increase in ex- pected company profit, which causes the actual rising extent of A share return rate to be less than the rising extent of company profit. It shows that Chinese investors do not overreact to the fundamental situation of stocks. Neither the sizes of listed companies nor the different hypotheses of vector autoregression model coefficient matrix and covariance matrix affects the solidity of this conclusion.