意外盈余下超额收益率实证研究

An Empirical Study on the Abnormal Returns——based on Unexpected Earnings

盈利公告信息的有效性是投资者作出正确的投资决策的前提和依据。本文我国沪、深两市为研究对象,通过采用事件研究法对我国证券市场盈利公告信息的有效性进行初步分析。分析结论表明,在盈利公告日前的第三个交易周里,意外盈利与股票的超额收益率存在十分显著的正相关;在盈利公告日当天,两者负相关;在盈利公告日后的三个交易周里,两者存在非常显著的负相关;在中国的股票市场里,盈利公告信息存在无效性。研究数据显示,在盈利公告日当天股价普遍过度反应现象正逐步减少。

The efficiency of earning information is the foundation and premise of any correct desicion made by the investors, focusing on the shanghai and the shenzhen stock markets, this article use the event study to analyze the efficiency of payoff information in domestic securities markets. The results suggest that unexpected earnings are in positive correlation of the abnormal returns during the third week of trade before the earning information is released while they are in negative correlation during the day of release. Negative correlation is outstanding during the three weeks of trade after the earning information is released. In Chinese stock markets, there are inefficiencies in the earning information released. The data shows that the overreaction of stocks on the day of release is declining gradually.