个人投资者能够解读公开信息吗?——基于盈余公告附近信息需求行为的研究

Can Individual Investors Interpretate Public Information? A Research on the Information Demond around the Announcement of Earnings

本文使用百度超额搜索量作为个人投资者信息需求行为的代理变量,发现在盈余公告附近,个人投资者对公司信息的需求明显增强。随着投资者信息需求的增强,股票的交易量也随之增加。盈余公告前的投资者信息需求行为不影响同期股价对未预期盈余的反应,但是对盈余公告之后的盈余反应系数具有显著的负向作用,这为Holthausen和Verrecchia(1990)、Kim和Verrecchia(1997)的理论模型提供了来自中国市场的证据。本文还发现盈余公告之后的信息需求使市场对盈余公告的立即反应更加充分;此外,业绩预告、新闻报道等影响着个人投资者对公开信息的解读。

Using Baidu abnormal search volume as a proxy for individual investors information demand, we find that individual investors search for more information around earnings announcements. Consistent with the theoretical model of Holthause ＆ Verrecchia （1990） and Kim ＆ Verrecchia （1997）t241, tranding volume is postively associated with information demand. Information demand before earnings announcements has no effect on the relationship of contemporary abnormal return and earning surprise, but the postive associaton between abnormal return after earnings announcements and earning surprise is weaker when search before earnings announcements is more intense. We also find that the more individual investors search, the less the phenomenon of PEAD. Management forecasts and news reports have significant effect on individual investors＇ trading.