本文選題：盈余公告效應(yīng)　切入點(diǎn)：業(yè)績預(yù)告　出處：《上海交通大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：本文從業(yè)績預(yù)告的角度對盈余公告效應(yīng)進(jìn)行了研究。首先將樣本按照是否進(jìn)行業(yè)績預(yù)告分為業(yè)績預(yù)告組和非業(yè)績預(yù)告組，然后對這兩組樣本分別運(yùn)用了Foster.Olsen和Shevlin(1984)的經(jīng)典研究方法進(jìn)行研究，即將業(yè)績預(yù)告樣本組和非業(yè)績預(yù)告樣本組按照其未預(yù)期盈余等級的高低分為十組，檢驗(yàn)盈余公告后未預(yù)期盈余與超額收益的關(guān)系。 本文的核心研究成果是發(fā)現(xiàn)業(yè)績預(yù)告與超額收益的聯(lián)系比正式報(bào)告與超額收益的聯(lián)系更加密切。在業(yè)績預(yù)告樣本組中，所有組合的未預(yù)期盈余等級與超額收益都有正相關(guān)關(guān)系。而對于非業(yè)績預(yù)告樣本組，，這樣的對應(yīng)關(guān)系并不明顯。并且對于相同的未預(yù)期盈余等級，業(yè)績預(yù)告樣本組中的相應(yīng)組合超額收益也明顯高于非業(yè)績預(yù)告樣本組中的相應(yīng)組合。同時(shí)，市場對業(yè)績預(yù)告中新信息的反應(yīng)速度也慢于對正式報(bào)告中新信息的反應(yīng)速度，給投資者留下了更大的盈利空間。所以，當(dāng)投資者尋找超額收益時(shí)，應(yīng)該更加關(guān)注進(jìn)行業(yè)績預(yù)告的公司所對應(yīng)的股票。 文章的后半部分基于前文的研究發(fā)現(xiàn)設(shè)計(jì)了一個(gè)交易策略，其基本原理是在有業(yè)績預(yù)告的股票中選擇擁有高未預(yù)期盈余等級的進(jìn)行投資。使用過去十年的數(shù)據(jù)對該交易策略進(jìn)行回測，得到了25%的年化收益。同時(shí)，較高的夏普比率與信息比率以及收益的高穩(wěn)定性也證明了該交易策略值得機(jī)構(gòu)投資者實(shí)施。
[Abstract]:In this paper, the effect of earnings announcement is studied from the perspective of performance forecasting. Firstly, the samples are divided into performance forecasting group and non-performance forecasting group according to whether the performance forecast is carried out or not. Then the two groups of samples were studied by using the classical research method of Foster.Olsen and Shevling 1984, that is, the sample group of performance forecast and the sample group of non-performance forecast were divided into ten groups according to their unexpected earnings grade. Examine the relationship between unanticipated earnings and excess earnings after earnings announcement. The core research result of this paper is to find that the relationship between performance forecast and excess return is more close than that between formal report and excess return. There is a positive correlation between the unanticipated earnings grade of all combinations and the excess return. But for the non-performance forecast sample group, the corresponding relationship is not obvious. And for the same unanticipated earnings grade, At the same time, the response speed of the market to the new information in the performance forecast is also slower than that to the new information in the formal report. So when investors look for excess returns, they should pay more attention to the corresponding stocks of the company that carries out the forecast. In the second half of this paper, we design a trading strategy based on the previous research. The basic principle is to invest in stocks with high unanticipated earnings grades among stocks with performance forecasts. Using data from the past decade to measure the trading strategy, we have achieved an annualized return of 25%. The higher Sharpe ratio to information ratio and the high stability of earnings also prove that the trading strategy is worth institutional investors.
【學(xué)位授予單位】：上海交通大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.51

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 齊偉山;歐陽令南;;機(jī)構(gòu)投資者與盈余公告后的股價(jià)行為——基于中國證券市場的經(jīng)驗(yàn)分析[J];管理科學(xué);2006年01期

2 楊德明;林斌;;業(yè)績預(yù)告的市場反應(yīng)研究[J];經(jīng)濟(jì)管理;2006年16期

3 吳世農(nóng),吳超鵬;我國股票市場“價(jià)格慣性策略”和“盈余慣性策略”的實(shí)證研究[J];經(jīng)濟(jì)科學(xué);2003年04期

4 張華;張俊喜;;我國盈利公告效應(yīng)的動(dòng)態(tài)特征[J];經(jīng)濟(jì)學(xué)(季刊);2004年01期

5 趙宇龍;會計(jì)盈余披露的信息含量——來自上海股市的經(jīng)驗(yàn)證據(jù)[J];經(jīng)濟(jì)研究;1998年07期

6 陳曉,陳小悅,劉釗;A股盈余報(bào)告的有用性研究——來自上海、深圳股市的實(shí)證證據(jù)[J];經(jīng)濟(jì)研究;1999年06期

7 孔東民;柯瑞豪;;誰驅(qū)動(dòng)了中國股市的PEAD?[J];金融研究;2007年10期

8 譚偉強(qiáng);;我國股市盈余公告的“周歷效應(yīng)”與“集中公告效應(yīng)”研究[J];金融研究;2008年02期

9 吳世農(nóng),黃志功;上市公司盈利信息報(bào)告、股價(jià)變動(dòng)與股市效率的實(shí)證研究[J];會計(jì)研究;1997年04期

10 羅玫;宋云玲;;中國股市的業(yè)績預(yù)告可信嗎?[J];金融研究;2012年09期

本文編號：1628807