公开信息对股票收益率影响的实证分析--基于合成控制方法的新证据

An Empirical Analysis of the Impact of Information Disclosure on Stock Returns——Based on New Evidence of Integrated Control Method

假设上市公司发布年报以及半年报会对股票在短期内的收益率产生影响,采用合成控制法,通过上市公司发布年报或半年报的时间区分出控制组和合成组,对2012年5月至2016年9月间发布年报或半年报后股票收益率变化情况进行研究,并通过DID的方法,研究真实值与合成值之间的差异是否显著。结果显示:上市公司发布年报或半年报对股票收益率产生的变化不显著,这表明我国股市中上市公司的年报或半年报不会在短期内对本公司股票收益率产生显著影响。

Under the presumption that annual and semi-annual report of listed companies would impact short term returns of stocks and by using integrated control method, the paper conducted research on stock return rate change after the releasing of annual and semi annual report during May, 2011 to September, 2016. The paper also conducted research on the difference between real value and synthetic value by using DID method. The paper concluded that the releasing of annual and semi annual report of listed companies had little impact on stock return rate, which indicated that the releasing of annual and semi annual report of listed companies won^ greatly impact short term stock return rate.