本文關鍵詞： 意外盈余 投資者注意力過 度反應 行為金融　出處：《復旦大學》2012年碩士論文　論文類型：學位論文

【摘要】：會計盈余是應用最為廣泛,受到公司內(nèi)部以及市場投資者關注最多的公司績效信息之一,而盈余公告效應是一類非常重要的市場“異象”(anomalies),對公司盈余公告后股價反應的研究也是金融和會計學文獻的熱點話題；同時,國外一些行為金融的研究發(fā)現(xiàn),注意力是投資者對信息反應的一個重要影響因素。本文所關注的是盈余公告發(fā)布時,投資者注意力的集中程度在市場價格對盈余信息的反應中的影響；在判斷注意力是否影響投資者的決策行為的基礎上對我國意外盈余效應的產(chǎn)生原因進行探討。 本文以2006-2010年度A股上市公司年度盈余公告為研究對象,利用事件研究及回歸分析等方法對我國股票市場的意外盈余效應進行實證檢驗,從投資者對盈余信息的過度反應及后續(xù)修正的動態(tài)過程中探究注意力是如何影響資產(chǎn)價格的。研究的主要結論為：(1)我國市場對盈余公告存在過度反應；(2)當投資者對股票市場的關注水平較高時,股價在公告日附近對盈余信息反應程度較大,并且在事件后窗口中有較顯著的收益反轉；(3)當投資者的注意力較分散時,股價在事件窗口內(nèi)受到盈余信息的影響較小,在事件后窗口中也未產(chǎn)生明顯的反轉現(xiàn)象。結合我國投資者的行為偏差,本文認為,較高的注意力水平可能加劇投資者的行為偏差,導致其對信息反應過度,使股價偏離其理論價值而加劇市場波動。 我國證券市場是重要的新興市場之一,投資者經(jīng)驗尚不豐富、信息披露不充分、政策制定與實施缺乏連貫性等因素使市場參與者的行為和心理偏差對市場運行的影響尤為突出。本文結合我國市場環(huán)境和投資者行為的特點,從投資者注意力的角度揭示了我國市場對意外盈余反應的特點和意外盈余效應產(chǎn)生原因,為行為金融理論對股價異常表現(xiàn)的解釋提供了中國市場的證據(jù),也為進一步了解我國市場的運行效率和投資者行為特點提供了依據(jù)。
[Abstract]:Accounting earnings is one of the most widely used corporate performance information, which attracts the most attention from both internal and market investors. The earnings announcement effect is a very important market anomaly, and the research on the stock price reaction after the earnings announcement is also a hot topic in the financial and accounting literature. Attention is an important factor that affects investors' response to information. This paper focuses on the influence of investors' concentration on the response of market price to earnings information when the earnings announcement is issued. On the basis of judging whether attention affects investors' decision-making behavior, the causes of unexpected surplus effect in China are discussed. Taking the annual earnings announcement of A share listed companies in 2006-2010 as the research object, this paper makes an empirical test on the unexpected earnings effect of China's stock market by means of event study and regression analysis. From the dynamic process of investors' overreaction to earnings information and subsequent correction, this paper explores how attention affects asset prices. The main conclusion of the study is: 1) there is overreaction to earnings announcement in Chinese market. When the level of attention to the stock market is high, Stock prices have a greater response to earnings information near the announcement date, and there is a more significant return reversal in the post-event window) when investors' attention is more scattered, stock prices are less affected by earnings information in the event window. There is no obvious reversal phenomenon in the window after the event. Combined with the behavior deviation of the investors in our country, this paper thinks that the higher attention level may aggravate the behavior deviation of the investors, and lead them to overreact to the information. The stock price deviates from its theoretical value and exacerbates market volatility. China's securities market is one of the most important emerging markets. The lack of consistency in policy making and implementation makes the market participants' behavior and psychological bias especially affect market operation. This paper combines the characteristics of market environment and investor behavior in our country. From the perspective of investors' attention, this paper reveals the characteristics of market reaction to unexpected earnings in China and the causes of unexpected earnings effect, which provides evidence for the explanation of abnormal performance of stock price by behavioral finance theory in China. It also provides the basis for further understanding the market operation efficiency and investor behavior characteristics.
【學位授予單位】：復旦大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F275;F832.51;F224

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