本文關(guān)鍵詞：基于投資者有限注意的盈余公告市場(chǎng)反應(yīng)研究　出處：《中南大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 上市公司 盈余公告 有限注意 分散效應(yīng) 顯眼效應(yīng)

【摘要】：心理學(xué)研究發(fā)現(xiàn)人的注意力是有限的,對(duì)某一事件的關(guān)注必須以犧牲對(duì)另一事件的關(guān)注為代價(jià)。做任何決策都需要信息,面對(duì)不斷增長(zhǎng)的信息量,人們的注意力已經(jīng)成為一種稀缺資源。在資本市場(chǎng)中,決策之前投資者需要處理各種宏微觀信息,受個(gè)人有限注意力的限制,投資者必須對(duì)注意力進(jìn)行合理的配置。然而投資者配置注意力時(shí),受個(gè)人主觀因素、環(huán)境因素、信息的客觀特征以及信息總量的影響從而不能合理分配注意力,導(dǎo)致一些重要的信息被投資者忽略。近年來國(guó)內(nèi)外學(xué)者從有限注意力角度對(duì)資本市場(chǎng)進(jìn)行了大量的研究,但較少以盈余公告的市場(chǎng)反應(yīng)為研究點(diǎn)。本文以上市公司年報(bào)為契機(jī)從有限注意力角度研究了盈余公告的市場(chǎng)反應(yīng),發(fā)現(xiàn)我國(guó)年報(bào)披露市場(chǎng)存在注意力的“分散效應(yīng)”與“顯眼效應(yīng)”。 文章首先探討了有限注意的概念及其理論,以及“分散效應(yīng)”與“顯眼效應(yīng)”的形成機(jī)理；其次文章選取了2005年至2010年上市公司年報(bào),采用數(shù)據(jù)統(tǒng)計(jì)方法對(duì)比了年報(bào)集中披露時(shí)期與分散披露時(shí)期以及進(jìn)入年報(bào)排行榜和未進(jìn)入年報(bào)排行榜各個(gè)公司年報(bào)的受關(guān)注度差異；文章最后對(duì)受投資者關(guān)注程度有差異的年報(bào)的市場(chǎng)反應(yīng)進(jìn)行了實(shí)證分析。 本文研究的具體結(jié)論是：(1)在年報(bào)分散披露時(shí)期披露年報(bào)上市公司的即時(shí)市場(chǎng)反應(yīng)強(qiáng)于集中披露時(shí)期披露年報(bào)的上市公司,且集中披露時(shí)期披露的年報(bào)后期15天內(nèi)存在較強(qiáng)的盈余漂移,即我國(guó)年報(bào)披露市場(chǎng)存在注意力的“分散效應(yīng)”；(2)年報(bào)披露期間進(jìn)入央視二臺(tái)年報(bào)排行榜的上市公司年報(bào)即時(shí)市場(chǎng)反應(yīng)強(qiáng)于未入榜上市公司,即我國(guó)上市公司年報(bào)披露期間存在的“顯眼效應(yīng)”,進(jìn)一步研究發(fā)現(xiàn)央視年報(bào)排行榜是導(dǎo)致榜內(nèi)上市公司年報(bào)“顯眼”的原因；(3)最后文章發(fā)現(xiàn)在集中披露時(shí)期進(jìn)入年報(bào)排行榜的上市公司即時(shí)市場(chǎng)反應(yīng)不再占據(jù)絕對(duì)優(yōu)勢(shì),即集中披露時(shí)期的注意力“分散效應(yīng)”強(qiáng)于央視二臺(tái)年報(bào)排行榜的“顯眼效應(yīng)”。
[Abstract]:Psychology study found that people's attention is limited, in the event of a concern must be at the expense of another concern for the price. Any decision to do need information, facing the growing amount of information, people's attention has become a scarce resource. In the capital market, investors need to deal with all kinds of macro decision before micro information, limited attention by personal limitations, investors must have a reasonable allocation of attention. However, investors are allocating attention, by personal subjective factors, environmental factors, the objective characteristics of information and information of the total effect to the rational allocation of attention, leading to some important information been ignored by investors at home and abroad in recent years. Scholars from limited attention angle of the capital market has done a lot of research on the market reaction, but less earnings announcement as the research point. The above city company The annual report takes the opportunity to study the market reaction of earnings announcements from the perspective of limited attention, and finds that the "distraction effect" and "conspicuous effect" of attention in China's annual report market exist.
This paper first discusses the concept and theory of limited attention, and the formation mechanism of "dispersing effect" and "conspicuous effect"; secondly, the article from 2005 to 2010 annual report of listed companies, using statistical methods of data compared to the annual report disclosure period focused on the disclosure and dispersion period and enter the annual rankings and did not enter the annual rankings of each company the annual report of the attention difference; market reaction finally has the difference of annual report by investors concerned about the extent of the empirical analysis.
The conclusions of this study are: (1) the disclosure period of disclosure of real-time market reaction of Listed Companies in the annual report disclosure period from listed companies to disclose the annual report in the annual report disclosure of dispersed and concentrated period, the annual disclosure of late earnings drift strong within 15 days, China's annual report disclosure market attention "dispersing effect"; (2) annual disclosure of the annual report of listed companies to enter the market reaction during the immediate annual list of the two sets of CCTV in not in the list of listed companies, namely China's annual report disclosure of listed companies exist during the "conspicuous effect", further study found that the CCTV annual ranking is the cause of the list in the annual report of listed companies "conspicuous"; (3) finally found in the immediate market reaction period focused on the disclosure of the list to enter the annual report of listed companies no longer occupy absolute advantage, which is focused on the disclosure period of attention" The dispersion effect is stronger than the "prominent effect" of the two annual reports on CCTV.

【學(xué)位授予單位】：中南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F275;F832.51;F224

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