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我国A股市场的盈余公告后漂移现象研究——基于Fama-French三因素模型

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摘要 盈余公告后漂移现象是金融学和会计学所关注的热点问题之一,本文基于我国弱有效市场的条件运用FamaFrench三因素模型证明我国A股市场上PEAD存在性,进一步考察了流动性是引起PEAD现象最关键的因素,并研究发现高未预期盈余组即好消息组合比低未预期盈余组即坏消息组合的流动性强,对盈余消息更加敏感。
机构地区 西北大学
出处 《金融经济(下半月)》 2013年第9期143-145,共3页
基金 陕西省重点学科"国民经济学" 陕西省"三秦学者"岗位研究计划资助
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参考文献11

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二级参考文献37

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