上市公司非经常性损益的市场反应研究

Research on Market Reaction to Special Items

本文利用2009年至2011年中国股票市场的数据,对投资者给股票定价时对非经常性损益信息的反应程度进行了分析。结果发现,投资者在做出定价决策时,区分了扣除非经常性损益每股收益和每股非经常性损益信息,并在当每股非经常性损益为正时对扣除非经常性损益每股收益给予了比每股非经常性损益更高的定价。但是当每股非经常性损益为负数时,投资者给予了每股非经常性损益比扣除非经常性损益每股收益更高的定价。

This paper measures the reaction to information of special items in China when investors are pricing the stocks.We use data from 2009 to2011 to test the adjusted Ohlson Mode(Ohlson.1995).The result shows that the Ohlson Model has been verified.This means that investors has distinguished the earnings deducted special items per share and the special items per share.Furthermore,they give the former one higher stock price than the latter one when special items per share is a positive number.However,when special items per share is a negative number,the conclusion is opposite that investors give the earnings deducted special items per share higher stock price than the special items per share.