摘要
融资融券的推出是中国证券市场交易制度的一次结构性的变革,本文以第一批可以融资融券的90只股票为样本,选取盈余公告漂移异象作为研究标的,从理论和实践角度检验融资融券推出对市场价格发现的影响作用。我们发现,融资融券的推出使得投资者有更多的选择和手段对市场信息做出及时反应,A股市场的一个市场异象盈余公告漂移在融资融券后有显著减弱。最后本文利用融资融券制度的可卖空和杠杆交易特征构造了基于盈余漂移的交易策略。
The implementation of margin trading & short selling is a structural change in China's security market.Using a sample of 90 first pilot stocks and taking Post-earnings-announcement-drift(PEAD) as research object,this paper tests the influence of margin trading & short selling on price discovery.We find that PEAD effect is significantly weakened because investors have more choices and methods to make timely reflects to market information due to margin trading & short selling.At last we use short selling and margin trading to structure a trading strategy based on PEAD.
出处
《上海金融》
CSSCI
北大核心
2013年第2期75-81,118,共7页
Shanghai Finance
基金
自然科学基金青年项目(项目号71102022)的支持
关键词
盈余公告漂移
融资融券
价格发现
交易策略
PEAD
Margin Trading & Short Selling
Price Discovery
Trading Strategy
