上市保险公司年度业绩预告的信息效应研究

An Analysis of the Information Effects of Annual Earnings Forecast of Listed Insurance Companies

基于事件研究法,用超额收益率分析我国三家上市保险公司年度业绩预告的信息含量,测度了信息披露的公正性,揭示了业绩预告信息质量的进步性。超额收益率和累积超额收益率的变化轨迹显示,三家保险公司的业绩预告都有信息含量;随着披露次数的增多,业绩预告的信息质量都在逐年提高。"好消息"的披露往往会导致累积超额收益率逆转上升;"坏消息"的披露一般能减缓累积超额收益率的下降速度。信息披露公正性的检验表明,当业绩预告为"好消息"时,一般不存在信息泄露;为"坏消息"时,通常存在不同程度的信息泄露。

Based on the event study method, the information content of annual performance projection of China＇s three listed insurance companies was analyzed and the fairness of information disclosure was measured. It demonstra- ted the enhanced quality of their earnings forecast-related information disclosure. The indices of the excess rate of return and the cumulative excess rate of return showed that the annual perfornmnce projections of three listed insur- ers had due information content. And the quality of information disclosure has been improving constantly as more frequent disclosures are made. ＂Good news＂ disclosureoften reverses decline of the cumulative excess rate of return, while disclosure of ＂bad news＂ can often slow down decline of the cumulativeexcess rate of return. Information leak- age testing shows that when ＂good news＂ announcement is made, there is generally when＂ bad news＂ announcement is made, there usually are certain levels of information no information leakage, but leakage.