投资者有限注意力与上市公司年报公布时间选择

Investors Limited Attention and Earnings Announcement Timeliness

投资者有限注意力是影响金融市场定价和上市公司行为的一个重要因素。本文发现,尽管我国规定上市公司年报披露的时间要符合"均衡披露"的原则,但实际的年报披露却表现出明显的"星期偏好"和"扎堆偏好"。进一步研究表明,相比其他日期披露好消息,在星期二披露好消息的股票超额收益率更高;而相比其他日期披露坏消息,在星期六披露坏消息的股票超额收益率也更高。此外,公司选择在众多年报同时公布的日期披露坏消息对其股票超额收益率有正向影响。由此,本文印证了我国上市公司存在通过分散投资者的注意力,以最优化投资者对其年报盈余信息反应的机会主义行为。

Limited attention of investors has been justified to have significant impact on pricing in financial market and on firm＇s behavior.In this paper,we find that the Chinese listed firms show strong preferences on the announcement date of the annual financial report,which evidently violate the ＂equilibrium announcement＂ rule.The abnormal stock return for good news announced on Tuesday are higher than those announced on other days,and the abnormal stock return for bad news announced on Saturday are higher than those announced on other days.Furthermore,companies announcing bad news with much other news announced on the same day receive higher abnormal return.Therefore,we draw conclusion that firms manage to distract the investors＇ attention by choose their announcement date of annual reports.