文档介绍：第 32 卷第 1 期电子科技大学学报
2003 年 2 月 Journal of UEST of China Feb. 2003
我国股市对盈利信息反应的一个实证检验*
骆艳** 曾勇
(电子科技大学管理学院成都 610054)
【摘要】采用事件研究法,选取盈利信息作为反应事件,检验我国股票市场对盈利信息是否存在过度反应现
象。考虑上市公司盈利的变动和不确定性,根据盈利变动指标值来划分赢家组合和输家组合,考察组合在年报公
布后1年和3年两种检验期内的累计超额收益,用 1992~2000年沪深两市的数据进行实证检验,发现我国股市长期对
盈利信息不存在过度反应,与国外股市的反应模式不一致,实证结果可由中国股市发展的特征作出解释。
关键词过度反应; 盈利信息; 行为金融; 超额收益
中图分类号 文献标识码 A
An Empirical Test on Reaction of China Stock
Market to Earnings Information
Luo Yan Zeng Yong
(Deptment of Management, UEST of China Chengdu 610054)
Abstract The earnings announcements are chosen as the events for testing whether China stock
market overreacts to the earnings information. The winner portfolio and loser portfolio are divided
according to the earning changing index. The earning change of the panies are considered. The
cumulated abnormal returns of the portfolio 1-year and 3-year after the annual reports are tested. This
paper makes an empirical test using the data of Shenzhen stock market and Shanghai stock market from
1992 to 2000. It is shown that there is no overreaction to the earnings information in relatively long
period. Which is different from the foreign stock markets. The empirical results are explained by further
investigating the characteristics of China stock market.
Key words overreaction; earnings informa