系统性定价偏误:中国A股盈余公告后的价格漂移研究

Systematic Mispricing:A Research on Post Earnings Announcement Drift in China's A-share Stock Market

行为金融学的研究表明,投资者情绪引起的定价偏误在各支股票之间具有相关性,从而构成市场上的系统性定价偏误。基于2003年6月至2009年6月中国A股月度交易数据,本文考察了系统性定价偏误与盈余公告后漂移(PEAD)之间的关系。研究结果显示,中国股票市场上的PEAD现象可能由系统性定价偏误引致,因此,将捕捉系统性定价偏误的偏误定价因子引入定价模型能够提升模型对于PEAD的解释力。经过对定价模型调整,季度盈余公告后6个月买人持有异常收益在经济及统计意义上不显著。这一方面表明中国股票市场上存在由投资者情绪造成的系统性定价偏误,另一方面也为盈余公告后漂移的产生原因提供了新的解释。

Behavioral theories suggest that investor misperceptions and market mispricing will be correlated across firms,causing systematic mispricing.Based on the monthly trading data from China's A - share stock market during the period of June,2003 to June,2009,the paper investigates the relationship between systematic mispricing and PEAD anomaly.The result shows that,the PEAD anomaly on China's stock market may be caused by systematic mispricing.Including mispricing factor to the asset pricing model could enhance the pricing power of the model.After adjusting raw returns for the four risk factors,the buy - and - hold abnormal returns over the 6 months subsequent to quarterly earnings announcements are economically and statistically insignificant. These evidences indicate the existence of systematic mispricing on China's stock market as well as a new possible explanation for PEAD anomaly.