中國股市對盈利信息反應的一個實證檢驗

采用事件研究法，選取盈利信息作為反應事件，檢驗我國股票市場對盈利信息是否存在過度反應現(xiàn)象?？紤]上市公司盈利的變動和不確定性，根據(jù)盈利變動指標值來劃分贏家組合和輸家組合，考察組合在年報公布后1年和3年兩種檢驗期內(nèi)的累計超額收益，用1992~2000年滬深兩市的數(shù)據(jù)進行實證檢驗，發(fā)現(xiàn)我國股市長期對盈利信息不存在過度反應，與國外股市的反應模式不一致，實證結(jié)果可由中國股市發(fā)展的特征作出解釋。
關(guān) 鍵 詞 過度反應; 盈利信息; 行為金融; 超額收益

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 listed companies 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 information; behavioral finance; excess return