产业信息垂直转移效应研究——基于业绩快报的股价收益波动研究

发布时间：2018-01-06 11:44

本文关键词：产业信息垂直转移效应研究——基于业绩快报的股价收益波动研究　出处：《财政研究》2014年11期 　论文类型：期刊论文

【摘要】：公司业绩除受到市场与自身经营环境的影响外,相同价值链的上下游企业也是重要影响因素。因此,投资者可利用价值链内上下游企业先行发布的信息对所研究的企业做出判断与投资决策。本文以2004年至2010年上市公司数据,发现投资者可通过上(下)游行业的盈余宣告信息,去推论下(上)游行业盈利情形,并导致下(上)游行业的股价收益率产生异常变动,这就是信息垂直转移现象。信息垂直转移在主板市场上显著,信息在垂直转移的过程中会发生衰减,并随着行业相关度的减弱而加深。
[Abstract]:In addition to the impact of the market and its own operating environment, the performance of the company is also an important factor in the upstream and downstream enterprises of the same value chain. Investors can use the information of upstream and downstream enterprises in the value chain to make judgment and investment decision. This paper uses the data of listed companies from 2004 to 2010. It is found that investors can announce the earnings of the upper (lower) industry to infer the profit of the (upper) industry and cause the abnormal change of the stock price yield of the lower (upper) industry. This is the phenomenon of vertical information transfer. Information vertical transfer is obvious in the main board market. The information will decay in the process of vertical transfer and deepen with the weakening of industry correlation.
【作者单位】：上海国家会计学院;安信证券股份有限公司;
【分类号】：F832.51;F276.6
【正文快照】： 量不同行业之间的关联程度。投入相关系数irhoi,j=inputi,j/∑jinputi,j,inputi,j代表行业i耗用行业j的产品或服务的价值量,∑jinputi,j为行业i所耗产品和服务的价值总量。产出相关系数irhoi,j=inputi,j/∑jinputi,j,outputi,j代表行业i的产出价值量中为行业j所使用的部分。∑

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