摘要
盈余公告效应异象在各国资本市场普遍存在,行为金融理论中的投资者异质信念视角能较好地解释该异象。实证结果表明:投资者异质信念与盈余公告前后短期内累积超额收益率显著正相关,与盈余公告后长期累积超额收益率显著负相关;其中,低盈余质量强化了这种负向影响。投资者异质信念程度越大、盈余质量越低,长期累积超额收益率越小。
Post-earnings announcement drift is very commom on countries capital markets.The hetero-geneous beliefs can explan this anomaly preferably.The empirical test results show that there is a signifi-cant positive（negative）correlation between investors heterogeneous beliefs and cumulative abnormal return short-term around （long-term after ） the earnings announcement,and the low earnings quality may strengthen this negative impact.With greater heterogeneous beliefs and lower earnings information quality, the long-term cumulative abnormal return will be smaller.
出处
《湖南大学学报（社会科学版）》
CSSCI
北大核心
2014年第1期71-78,共8页
Journal of Hunan University(Social Sciences)
基金
教育部留学回国人员科研启动基金项目([2012]1707)
关键词
投资者异质信念
盈余公告效应
盈余质量
heterogeneous beliefs
post-earnings announcement drift
earnings quality
