投资者关注与盈余业绩预告择时披露

Investor Attention and Timing Disclosure Strategy of Earnings Preannouncement Disclosure

基于2011-2017年A股上市公司年度业绩预告样本数据,本文研究了管理层基于投资者关注择时披露业绩预告的行为,进一步探讨择机行为能否取得预期的市场收益。结果表明管理层会在投资者关注度较高的工作日、公告分散期、较早时期披露好消息,而在投资者关注度较低的周末、公告密集期、较晚时期披露坏消息;相比于"基于投资者情绪择机披露"策略,"基于投资者关注择机披露"策略在上市公司中更为普见,且有择机披露经验的企业更有可能采取择机披露行为;从市场反应来看,工作日与周末发布业绩预告引起的市场反应并无明显差异,但公告密集期、较晚发布的业绩预告相比于公告分散期、较早发布引起的市场反应显著更弱,因此管理层在分散期、较早披露好消息的业绩预告而在密集期、较晚披露坏消息的业绩预告择机策略能够取得期望的效果。本文的研究结果支持了"投资者有限关注"假说。

Based on the 2011-2017 annual earning preannouncements of A-share listed companies, this paper empirically examines whether managers utilize investor attention to time the disclosure of earning preannouncement and whether investors react as managers expect. We find that: 1) Managers incline to disclose bad news on weekend, busy days on which many firms disclose the preannouncement and late days and vice versa because investors are supposed to be inattentive on these days. 2) Compared to disclosing the preannouncement based on investors’ sentiment, disclosing the preannouncement based on investors’ attention is more common. Firms which have experience of disclosing based on investors’ attention are more likely to adopt the attention strategy. 3) There is no significant difference between the market reactions towards the preannouncement disclosed on workdays or weekend. However, the market reactions are significantly weak on busy days and late day compared to on non-busy days and early days. Therefore, the timing strategy of disclosing good news on high attention days and bad news on low attention days is successful with desirable results achieved. Our results support the "investors’ limited attention" hypothesis.