基于微观结构视角的非经常性损益噪音研究

Empirical Studies on the Information Noise of Non-recurring Gains and Losses Based on Microstructure Perspective

以证监会对非经常性损益的修订为事件,选择深市2004年度披露的非经常性损益的上市公司为研究对象,采用非经常性损益的定价误差方法以及加入虚拟变量的日内收益和隔夜收益的回归分析方法,并将非经常性损益区分为非经常性收益和非经常性损失后分组进行分析,从市场微观结构角度对非经常性收益和损失的信息噪音进行研究。研究结果表明,事件日后的非经常性损失定价误差明显降低,其信息噪音降低,而非经常性收益只有最大值组的定价误差明显降低。日间收益和隔夜收益的回归结果表明,由于非经常性收益和损失造成暂时偏离价值的价格会迅速得到修正,非经常性收益和损失的信息噪音降低。证监会对非经常性损益的修订在一定程度上降低了其信息噪音,政策实施后具有一定的效果。

Choosing the CSRC＇s amendment non-recurring gains and losses as an event and selecting the listed companies in Shenzhen Stock Exchange which disclosed the non-recurring gains and losses in 2004 as the research sample,this paper studies the information noise of non-recurring gains and losses from the market microstructure perspective by adopting the pricing error method of non-recurring gains and losses and regression method. In addition,based on the intraday return and over-night return by adding dummy variables into the regression model,the paper makes further analysis by groups after separating the non-recurring gains and losses into non-recurring gains and non-recurring losses. The results show that the pricing errors of non-recurring losses in the post period are decreased,so its information noise is also decreased in the post period. The information noises of non-recurring gains are significantly decreased only when the non-recurring gains belong to the largest group. The regression results of intraday and overnight return suggest that the temporary departure of price from intrinsic value due to non-recurring gains and losses will be corrected quickly; the information noises of non-recurring gains and losses are decreased. The CSRC＇s amendment non-recurring gains and losses makes the information noises of non-recurring gains and losses decrease to some extent,it has some effect after the policy was implemented.