【摘要】：利用《股市動(dòng)態(tài)分析周刊》雜志傳聞求證專欄刊登的傳聞求證信息,使用事件研究法,實(shí)證分析股價(jià)對(duì)傳聞求證信息的反應(yīng)。結(jié)果表明,傳聞求證信息公布前后的股價(jià)變動(dòng)在大多數(shù)情況下表現(xiàn)出"前漲后調(diào)"的模式,即公布前股價(jià)會(huì)明顯上升,公布后股價(jià)會(huì)下調(diào),但下調(diào)幅度相對(duì)較小;既未證實(shí)又未證否傳聞的求證信息、關(guān)于盈利能力和再融資傳聞的求證信息公布后股價(jià)反應(yīng)過度,說明股價(jià)對(duì)傳聞求證信息的反應(yīng)缺乏效率。
[Abstract]:By using the hearsay verification information published in the hearsay seeking column of "Stock Market dynamic Analysis Weekly" magazine, and using the method of event research, this paper empirically analyzes the reaction of stock price to hearsay seeking information. The results show that the stock price changes before and after the announcement of hearsay information show the pattern of "rising before and after adjusting" in most cases, that is, the stock price will rise obviously before and after the announcement, and the stock price will decline after the announcement, but the margin of decline is relatively small; The stock price overreacted after the announcement of the information on profitability and refinancing hearsay, which indicated that the reaction of stock price to hearsay information was inefficient.
【作者單位】： 中央財(cái)經(jīng)大學(xué)經(jīng)濟(jì)學(xué)院;中國人民大學(xué)經(jīng)濟(jì)學(xué)院;
【基金】：國家自然科學(xué)基金項(xiàng)目(71350016) 教育部留學(xué)回國人員科研啟動(dòng)基金項(xiàng)目 “中央財(cái)經(jīng)大學(xué)協(xié)同創(chuàng)新中心”經(jīng)濟(jì)學(xué)院研究項(xiàng)目
【分類號(hào)】：F832.51
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本文編號(hào)：2355276