中国股市的对比效应——基于对中证800指数成分股的研究

Contrast Effect in Chinese Stock Market Based on the Research of CSI 800

当公司公布业绩报告时,股价会受到业绩报告的影响,但该公司的股价是否还会受到其他公司公布业绩报告的影响?利用2014-2018年663个中证800成分股的面板数据,通过个体固定效应模型研究其他可比公司的超预期业绩构成的对比效应对目标公司股价的影响.对比效应指的是人们受到目标资产前一个相关信息的影响,对资产下一个信息的认知形成偏离,造成了资产价格偏离均衡价格.用在目标公司公布业绩之前的所有可比公司的超预期盈利的加权平均,与目标公司自身超预期盈利之差构建对比效应因子,选取累积超额收益为被解释变量,回归结果显示对比效应存在并且对累积超额收益有负向作用.此外,发现企业间相似性越高,对比效应就越明显.

When a company reports earnings,the stock price will be affected by the earnings,but is the stock price also affected by the results of other companies?In this paper,the panel data of 663 CSI 800 stocks from 2014 to 2018 were used to study the effect of the Contrast effect on the stock price of the target company caused by the performance exceeding expectations of other comparable companies through the individual fixed effect model.The contrast effect refers to that people are affected by the previous relevant information of the target asset and their cognition of the next information of the asset deviates,resulting in the deviation of the asset price from the equilibrium price.In this paper,the weighted average of all comparable companies'over-expectation earnings before the target company's performance announcement is used to construct the comparison effect factor,and the difference between the over-expectation earnings of the target company and the over-expectation earnings of the target company is selected as the explained variable.The regression results show that the comparison effect exists and has a negative effect on the over-expectation earnings of the target company.In addition,the higher the similarity between enterprises,the more obvious the contrast effect.