本文關(guān)鍵詞：公司季度報(bào)告宣布前后意見分歧與賣空限制對(duì)股票收益的影響　出處：《上海交通大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 投資者意見分歧 賣空限制 相對(duì)收益 季報(bào)公布

【摘要】：Miller (1977)假說(shuō)認(rèn)為在下面兩個(gè)條件存在時(shí)股票價(jià)格會(huì)被高估：投資者對(duì)股票有不同的預(yù)期；不能無(wú)摩擦的賣空股票。在本文中，，筆者使用事件研究的方法來(lái)研究這兩個(gè)因素在每個(gè)季報(bào)公布日前后三天的對(duì)股票相對(duì)收益的影響。我們選取A股在滬深交易所上市的股票作為研究數(shù)據(jù)樣本。針對(duì)中國(guó)市場(chǎng)，我們采用三個(gè)變量作為投資者意見分歧的代理變量（季報(bào)前換手率均值，股票相對(duì)收益率的方差，公司凈利潤(rùn)/資產(chǎn)的方差）并研究他們與公告日前后3天股票收益率的關(guān)系。筆者首先研究發(fā)現(xiàn)選擇的意見分歧代理變量在季報(bào)公布后降低。其次，在投資者意見分歧和賣空受限的條件下，意見分歧越大，股票在季報(bào)公布前后三天的相對(duì)收益越低。
[Abstract]:Miller / 1977) hypothesis holds that the stock price will be overvalued when the following two conditions exist: investors have different expectations of the stock; You can't short stock without friction. In this article. The author uses the method of event study to study the influence of these two factors on the relative return of stock three days before and after each quarterly report day. We select A shares listed on Shanghai and Shenzhen Stock Exchange as the data sample. To the Chinese market. We use three variables as the proxy variable with different opinions (average turnover rate before quarterly report, variance of relative return rate of stock). The relationship between them and the return rate of stock before and after the announcement date is studied. Firstly, the author finds that the agent variable of different opinions is lower after the quarterly report is published. Secondly, the relationship between them and the return rate of stock is studied. With investors divided and short selling restricted, the greater the divergence, the lower the relative earnings of stocks in the three days before and after the quarterly results.
【學(xué)位授予單位】：上海交通大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51

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相關(guān)期刊論文 前1條

1 周暉;葛琦;;盈余公告效應(yīng)影響因素分析[J];金融經(jīng)濟(jì);2007年10期

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