摘要
本文拟对沪深两市36家上市公司季报公布前后股票收益率变动情况进行研究。基于FFJR在1969年的文献中所提及的事件研究方法。发现每天的异常收益率在事件窗口中表现比较平稳,而每天累积的异常收益则具有明显的趋势,投资者在季报公布前后能获得显著的异常收益。反映出我国资本市场尚未达到半强有效,文章在最后指出一国应加强资本市场独立性的建设,有利于增强资本市场对宏观经济周期的超前预示作用。
This paper makes research into stock returns of 36 listed companies on Shanghai and Shenzhen security exchange market before or after the publication of financial statement. Based on FFJR＇s event study in 1969, we find the results are： there exists obvious tendency on the daily cumulative abnormal return, the investor can obtain notable abnormal returns. This reflects that our national capital market can not reach the semi-strong efficiency. In the end ,this paper points out that one country should strengthen the independent of stock market,and this can strengthen the indicative effect on macro economic cycle.
出处
《财务与金融》
北大核心
2009年第5期70-77,共8页
Accounting and Finance
关键词
市场有效性
事件研究
异常收益
Market Efficiency
Event Study
Abnormal Return
