本文選題：盈余預(yù)告　切入點(diǎn)：信息價(jià)值　出處：《廈門大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：中國(guó)的證券監(jiān)管機(jī)構(gòu)規(guī)定,上市公司在正式的定期財(cái)務(wù)報(bào)告公布前,如果預(yù)計(jì)報(bào)告期出現(xiàn)虧損或大幅業(yè)績(jī)變動(dòng),必須發(fā)布盈余預(yù)告公告。本文的研究旨在從全樣本的角度出發(fā),借助前后事件窗口的比較檢驗(yàn),探究預(yù)告公告的信息價(jià)值,并根據(jù)預(yù)告前后股價(jià)統(tǒng)計(jì)特性的變化規(guī)律開(kāi)發(fā)出相應(yīng)的交易策略,最后通過(guò)對(duì)交易策略的系統(tǒng)性評(píng)價(jià)再次論證盈余預(yù)告公告所具有的能夠指導(dǎo)交易的信息價(jià)值。 研究發(fā)現(xiàn),在公告日前后三十天的時(shí)間窗口中,股價(jià)收益率并沒(méi)有明顯的改變,而其收益率的標(biāo)準(zhǔn)差即波動(dòng)性卻變大了。對(duì)此本文從行為金融理論和業(yè)界操盤手法兩個(gè)角度進(jìn)行了分析,認(rèn)為造成上述結(jié)論的直接原因是在公告日后出現(xiàn)了先漲后跌或先跌后漲的現(xiàn)象,而這種現(xiàn)象的本質(zhì)成因是有多種可能的,可能是投資者異質(zhì)性交易帶來(lái)的對(duì)新信息從反應(yīng)不足到反應(yīng)過(guò)度到均值回復(fù)的動(dòng)態(tài)過(guò)程,也可能是主力資金根據(jù)其信息優(yōu)勢(shì)推動(dòng)的一種市場(chǎng)操縱行為。 基于上述發(fā)現(xiàn),本文開(kāi)發(fā)出了基于HP濾波的MA均線交易策略和自適應(yīng)分型交易策略。前者主要是在傳統(tǒng)的移動(dòng)均線交叉產(chǎn)生信號(hào)的策略基礎(chǔ)上,輔以濾波去噪來(lái)提高信號(hào)準(zhǔn)確率,取得了不錯(cuò)的績(jī)效,但進(jìn)一步的分析表明,參數(shù)選擇和閾值設(shè)定具有較大的主觀性,因此考慮一種新的自適應(yīng)選擇的方法。自適應(yīng)分型即從K線位置關(guān)系的完全分類出發(fā),給出了這樣一種方式�；販y(cè)結(jié)果表明,自適應(yīng)分型策略具有更好的收益以及更小的回撤。 最后,本文采用White真實(shí)性檢驗(yàn)和隨機(jī)樣本檢驗(yàn)的方法對(duì)自適應(yīng)分型策略進(jìn)行了穩(wěn)定性測(cè)試,結(jié)果表明其具有不同樣本下良好的穩(wěn)定性,并非過(guò)度識(shí)別導(dǎo)致碰運(yùn)氣地選到一個(gè)剛好有良好績(jī)效的樣本,從而再一次地論證了本文的一大主題,盈余預(yù)告公告信息具有顯著的信息價(jià)值。
[Abstract]:China's securities regulator stipulates that if a listed company is expected to report a loss or a substantial change in its performance in the reporting period before the publication of its formal regular financial report, it must issue a notice of earnings. The purpose of this study is to start from the perspective of a full sample. With the help of the comparative test of the event window before and after, the information value of the notice announcement is explored, and the corresponding trading strategy is developed according to the changing law of the statistical characteristics of the stock price before and after the forecast. Finally, through the systematic evaluation of trading strategy, the paper demonstrates the information value of earnings announcement. The study found that there was no significant change in the stock price return in the 30 day window around the announcement date. However, the standard deviation of the return rate, that is, the volatility, has become larger. It is considered that the direct cause of the above conclusion is the phenomenon of rising first and then falling or falling before rising after the announcement date, and there are many possibilities for the essential causes of this phenomenon. It may be the dynamic process of investors' heterogeneous trading from underreacting to over-reacting to average recovery, or it may be a kind of market manipulation driven by the main fund according to its information advantage. Based on the above findings, the MA mean line trading strategy based on HP filter and the adaptive classification trading strategy are developed in this paper. The former is mainly based on the traditional mobile mean line cross generation strategy. With the help of filtering and denoising to improve the signal accuracy, good performance has been achieved, but further analysis shows that parameter selection and threshold setting are more subjective. Therefore, a new method of adaptive selection is considered. The adaptive classification is based on the complete classification of K-line position relationship. The results of the back test show that the adaptive classification strategy has better revenue and smaller withdrawal. Finally, the White authenticity test and random sample test are used to test the stability of the adaptive classification strategy. The results show that it has good stability under different samples. It is not excessive recognition that leads to the lucky selection of a sample with good performance, which proves once again that the earnings announcement information has significant information value.
【學(xué)位授予單位】：廈門大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51;F231.1

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