本文選題：節(jié)前公告效應(yīng)　切入點：事件研究法　出處：《西南交通大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

【摘要】：Autoreetal.(2015)研究了美國證券市場上的節(jié)前公告效應(yīng),即把出現(xiàn)在節(jié)前公告日的收益率異常高的這種積極反應(yīng),稱作為"公司節(jié)前公告效應(yīng)",該文章主要研究了美國市場上的股票回購、增發(fā)、收購以及盈余四種類型的公告,在節(jié)前發(fā)布與在普通日發(fā)布不同的市場反應(yīng),結(jié)果證明美國存在著顯著正的節(jié)前公告效應(yīng),并且分析發(fā)現(xiàn)這一現(xiàn)象與投資者的情緒相關(guān)。而我國的證券市場的發(fā)展具有一定的特殊性,節(jié)日文化對人們的意義也不一樣。在這樣的市場背景下,研究上市公司節(jié)前公告效應(yīng)在中國市場的反應(yīng)具有重要意義。本文主要運用事件研究法研究上市公司節(jié)前公告效應(yīng)的市場反應(yīng)。以2013年1月1日-2015年12月31日上證A股非金融類上市公司公告為樣本,選用中國具有代表性的節(jié)日,構(gòu)建節(jié)前虛擬變量,用公告日當(dāng)天交易日以及下一個交易日兩天的累計異常收益率作為被解釋變量,比較上市公司節(jié)前發(fā)布公告與非節(jié)前發(fā)布公告間的市場反應(yīng)差異。實證結(jié)果表明,股票市場總體上存在公司節(jié)前公告效應(yīng),具體表現(xiàn)為公告發(fā)布在節(jié)前交易日的累計異常收益顯著為負。將公告分類后,發(fā)現(xiàn)節(jié)前發(fā)布好消息公告同樣對市場有負向影響,但節(jié)前發(fā)布壞消息公告影響不顯著。穩(wěn)健性檢驗采用確保事件窗口不會擴展到節(jié)日后的方法,即被解釋變量用異常收益率替代兩天的累計異常收益率,同樣證明了上市公司節(jié)前公告效應(yīng)的存在。隨后,從行為金融學(xué)角度分析影響節(jié)前公告效應(yīng)的潛在原因,包括投資者關(guān)注以及投資者情緒。投資者關(guān)注對上市公司節(jié)前公告效應(yīng)的影響不顯著,說明投資者關(guān)注不是影響上市公司節(jié)前公告效應(yīng)存在的原因。研究發(fā)現(xiàn)投資者情緒對上市公司節(jié)前公告效應(yīng)的影響顯著,具體表現(xiàn)為投資者情緒對于節(jié)前發(fā)布公告反應(yīng)有負向的影響。這表明相對于普通日發(fā)布公告來說,投資者并不看好上市公司節(jié)前發(fā)布的公告消息。同時,分析證明了投資者情緒是節(jié)前公告效應(yīng)的影響原因。在對于節(jié)前公告效應(yīng)的其他分析中,發(fā)現(xiàn):(1)市場存在一個過度反應(yīng)的情況,表現(xiàn)為節(jié)前公告效應(yīng)在之后一個星期內(nèi)出現(xiàn)顯著的正向反轉(zhuǎn),但在之后的兩個星期內(nèi)表現(xiàn)不明顯,證明了市場不是一個有效市場:(2)將周歷效應(yīng)作為控制變量加入模型中,發(fā)現(xiàn)節(jié)前公告效應(yīng)仍然顯著存在,說明節(jié)前公告效應(yīng)不受周歷效應(yīng)的影響;(3)研究發(fā)現(xiàn)中國股票市場不存在節(jié)后公告效應(yīng)。結(jié)合以上結(jié)論可以得出,本文很好的解釋了節(jié)前公告效應(yīng)這一事件的市場反應(yīng)情況,分析了中國市場上存在節(jié)前公告效應(yīng),為以后的研究提供了經(jīng)驗證據(jù)。
[Abstract]:Autoreetal.China (2015) has studied the pre-season announcement effect in the US stock market, that is, the positive response of unusually high returns on the pre-season announcement day, which is called the "company pre-festival announcement effect". This article mainly studies stock buybacks in the United States market. Four types of announcements, namely, issuance, acquisition and earnings, have different market responses before and on normal days. The results show that there is a significant positive pre-season announcement effect in the United States. And it is found that this phenomenon is related to investor sentiment. However, the development of China's securities market has its own particularity, and the significance of festival culture to people is also different. Under such a market background, It is of great significance to study the reaction of the pre-festival announcement effect of listed companies in China market. This paper mainly studies the market reaction of pre-festival announcement effect of listed companies by the method of event study. From January 1st 2013 to December 31st 2015, this paper studies the market reaction of pre-festival announcement effect of listed companies. The announcement of A shares in non-financial listed companies is a sample. In this paper, the representative festivals in China are selected to construct the virtual variables before the festival, and the cumulative abnormal return rate on the day of announcement and the next trading day is used as the explained variable. The empirical results show that the stock market as a whole has the effect of pre-festival announcement. After classifying the announcements, it is found that issuing good news announcements before the festival also has a negative impact on the market. But the impact of the bad news announcement before the festival was not significant. The robustness test used the method of ensuring that the event window did not extend to the post-holiday period, that is, the explanatory variable replaced the cumulative abnormal rate of return for two days with the abnormal rate of return. It also proves the existence of pre-festival announcement effect of listed companies. Then, from the perspective of behavioral finance, this paper analyzes the potential reasons that affect the pre-festival announcement effect. Including investor concerns and investor sentiment. The impact of investor concerns on the pre-festival announcement effect of listed companies is not significant. The results show that investor concern is not the reason why the pre-festival announcement effect of listed companies is affected. The study finds that investor sentiment has a significant effect on the pre-festival announcement effect of listed companies. This shows that investor sentiment has a negative impact on the response to the pre-holiday announcement. This shows that investors are not optimistic about the pre-festival announcement of a listed company compared with the normal daily announcement. At the same time, The analysis proves that investor sentiment is the reason for the pre-season announcement effect. In other analyses of the pre-season announcement effect, we find that there is an overreaction in the market. It is shown that the pre-season announcement effect appears a significant positive reversal in the following week, but it is not obvious in the following two weeks, which proves that the market is not an efficient market. (2) the calendar effect is added to the model as a control variable. It is found that there is still a significant pre-season announcement effect, which indicates that the pre-festival announcement effect is not affected by the calendar effect. (3) the study shows that there is no postganglionic announcement effect in China's stock market. This paper gives a good explanation of the market reaction of the pre-season announcement effect, and analyzes the existence of pre-season announcement effect in the Chinese market, which provides empirical evidence for future research.
【學(xué)位授予單位】：西南交通大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F832.51

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