中国A股市场的早公告溢价:现象与机制

The Early Announcement Premium in China A-share Market:Pattern and Mechanism

探究成熟股票市场的股票收益异象在A股市场的适用性,对于理解A股市场的有效性和股价运行特点具有重要的理论和实践价值。本文利用2004—2020年的季度盈余公告样本研究盈余公告溢价现象在A股市场的表现形式及其机制。结果表明,A股市场存在以盈余公告时机为条件的“早公告溢价”现象,即预计早发布盈余公告的公司,其股票在预计披露公告的时间段存在显著为正的超额收益,而晚公告公司不存在这种溢价。机制分析发现,“好消息早”和投资者对此反应不足无法解释这一现象,市场围绕盈余公告的理性学习行为导致早公告的信息不确定性显著高于晚公告,进而投资者要求正的溢价补偿是该现象的潜在原因。本研究不仅扩宽了盈余公告的研究视角,也对审视资本市场其他周期性重复事件对股票收益的影响具有一定参考意义。

Exploring the applicability of stock return anomalies in mature stock markets in the A-share market has important theoretical and practical value for understanding the efficiency and stock price operation characteristics of the A-share market.This paper uses quarterly earnings announcements from 2004 to 2020 to study the pattern and mechanism of the earnings announcement premium that exists in mature stock markets in the A-share market.The results indicate that there is a phenomenon of“early announcement premium”in the A-share market,which is conditional on the timing of earnings announcements.That is,firms that are expected to release earnings announcements early have significantly positive excess returns in their stocks during the expected disclosure period,while firms that announce earnings late do not have this premium.Mechanism analysis finds that"good news early"and insufficient investor response to this cannot explain this phenomenon.The rational learning behavior of the market around earnings announcements leads to significantly higher information uncertainty in early announcements than in late announcements,and thus investors’demand for positive premium compensation is the underlying mechanism.This study not only broadens the research perspective on earnings announcements,but also has certain reference implications for the impact of other cyclical recurring events in the capital market on stock returns.