【摘要】：證券市場(chǎng)盈余公告效應(yīng)(PEAD)的相關(guān)理論和實(shí)證研究由來已久，行為金融理論的發(fā)展使這一異象的解釋和研究更加深入。目前，中國證券市場(chǎng)仍以信念異質(zhì)的散戶投資者為主，2007年正式實(shí)施的新會(huì)計(jì)準(zhǔn)則中對(duì)上市公司信息披露盈余質(zhì)量的要求進(jìn)一步提高了證券市場(chǎng)對(duì)盈余公告異象的重視，因此，結(jié)合考慮信息層面因素，從投資者異質(zhì)信念角度深入剖析PEAD異象有重要意義。本文以此為研究契機(jī)，檢驗(yàn)投資者異質(zhì)信念對(duì)證券市場(chǎng)盈余公告效應(yīng)的影響。 本文首先從理論分析的角度對(duì)國內(nèi)外有關(guān)投資者異質(zhì)信念和盈余公告效應(yīng)的相關(guān)文獻(xiàn)進(jìn)行梳理，對(duì)相關(guān)理論進(jìn)行闡述，并在此基礎(chǔ)上分析了投資者異質(zhì)信念對(duì)盈余公告效應(yīng)的影響機(jī)理。然后，確定實(shí)證研究方法和各研究變量的計(jì)算方法并構(gòu)建多元回歸模型。最后，選取2007年到2011年公開披露年報(bào)信息的滬深兩市A股非金融上市公司為樣本，通過運(yùn)用事件研究法、多元回歸分析法和Bootstrap檢驗(yàn)法來驗(yàn)證研究假設(shè)，考察我國證券市場(chǎng)在樣本期間盈余公告效應(yīng)的特征及投資者異質(zhì)信念對(duì)它的影響。 實(shí)證檢驗(yàn)發(fā)現(xiàn)，我國在樣本期存在明顯的盈余公告效應(yīng)異象；投資者異質(zhì)信念顯著影響盈余公告效應(yīng)；在好壞消息中，投資者異質(zhì)信念對(duì)未預(yù)期盈余累積超額收益率敏感性影響存在差異；機(jī)構(gòu)投資者持股比例對(duì)累積超額收益率有顯著的負(fù)向影響；投資者異質(zhì)信念對(duì)盈余公告效應(yīng)的影響在不同盈余質(zhì)量水平中存在差異。我國上市公司存在不同程度的盈余管理行為，我國投資者存在顯著的異質(zhì)信念并且信息甄別分析能力有限，機(jī)構(gòu)投資者持股在減少投資者之間的異質(zhì)信念，穩(wěn)定市場(chǎng)中并未起到預(yù)期作用。針對(duì)上述問題，本文提出了加強(qiáng)證券市場(chǎng)監(jiān)管，正確引導(dǎo)個(gè)人投資者和機(jī)構(gòu)投資者發(fā)展，，完善市場(chǎng)約束機(jī)制的政策建議。
[Abstract]:The theoretical and empirical research on the earnings announcement effect of securities market (PEAD) has a long history, and the development of behavioral finance theory makes the explanation and research of this anomaly more in-depth. At present, China's securities market is still dominated by retail investors with heterogeneous beliefs. The requirements of the new accounting standards on the quality of information disclosure of listed companies in 2007 have further enhanced the attention of the securities market to earnings announcement anomalies. It is of great significance to analyze PEAD anomalies from the perspective of investors' heterogeneous beliefs by considering the factors of information level. This paper takes this opportunity to test the influence of investor heterogeneity belief on earnings announcement effect in securities market. This paper firstly combs the relevant literatures about investors' heterogeneity belief and earnings announcement effect from the angle of theoretical analysis, and expounds the relevant theories. On this basis, the influence mechanism of investor heterogeneity belief on earnings announcement effect is analyzed. Then, the empirical research method and the calculation method of each research variable are determined and the multivariate regression model is constructed. Finally, the non-financial listed companies of Shanghai and Shenzhen A-shares which publicly disclose the annual report information from 2007 to 2011 are selected as samples, and the research hypotheses are verified by using event research method, multiple regression analysis method and Bootstrap test method. This paper investigates the characteristics of earnings announcement effect in Chinese securities market during the sample period and the influence of investors' heterogeneity belief on it. The empirical test shows that there are obvious anomalies of earnings announcement effect in the sample period in China; investors' heterogeneity beliefs have a significant impact on earnings announcement effect; in good or bad news, The influence of investor heterogeneity belief on the sensitivity of cumulative excess return of unanticipated earnings is different, and the proportion of institutional investors has a significant negative effect on cumulative excess return. The influence of investor heterogeneity belief on earnings announcement effect is different among different earnings quality levels. China's listed companies have different degree of earnings management behavior, Chinese investors have significant heterogeneous beliefs and limited ability of information screening and analysis, institutional investors hold shares in reducing heterogeneous beliefs among investors. Stabilizing the market did not play the expected role. In view of the above problems, this paper puts forward some policy suggestions on strengthening the supervision of the securities market, correctly guiding the development of individual investors and institutional investors, and perfecting the market restraint mechanism.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F224;F832.51

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