扭亏为盈业绩预告的超额收益的实证研究及案例分析

发布时间：2018-01-29 22:00

本文关键词： 扭亏为盈业绩预告累计超额收益率收益率驱动因素　出处：《复旦大学》2013年硕士论文　论文类型：学位论文

【摘要】：Fama在1970年首次突出有效市场假说(EMH),他认为股价能充分反应任何可得信息,也即是说投资者无法利用私人的信息获取超额收益。但之后多位学者发现了证券市场的异常收益现象,证明市场并非完全有效。我国关于行为金融实证研究始于90年代,赵宇龙是第一位研究会计盈余披露带来股价效应的学者。本文旨在研究我国上市公司业绩预告“扭亏为盈”事件与其公司股票相对上证指数的累计超额收益的关系。根据本文的研究结果显示,在多数情况下,在上市公司发布“扭亏为盈”业绩预告后3-4个月,其公司股票相对上证指数存在持续的显著超额收益率。若以所有在次年一月份公布“扭亏为盈”预告的国内上市公司为样本池,则根据过去11年的历史数据统计,在预告发布后4个月,该样本池样本平均累计超额收益率为20.59%,近两年约为11%。在上述统计结果的基础上,本文又着重研究了事件超额收益率的驱动因素,发现不同的扭亏原因对其驱动力度不同,其中,经营能力改善驱动的“扭亏为盈”与超额收益率显著相关。
[Abstract]:In 1970, Fama first highlighted the EMH hypothesis, arguing that share prices fully reflected any available information. In other words, investors can not use private information to obtain excess returns. However, many scholars later discovered the abnormal returns in the securities market. The empirical research on behavioral finance in China began in 90s. Zhao Yulong is the first scholar to study the stock price effect of accounting earnings disclosure. The relationship between the event and the cumulative excess return of the company's stock relative to the Shanghai Stock Exchange Index. In most cases, three to four months after the announcement of "turnaround" results by listed companies. There is a persistent significant excess return on its shares relative to the Shanghai Stock Exchange Index. Take all the domestic listed companies that announced the "turnaround" forecast on January as the sample pool. Then according to the historical data statistics of the past 11 years, the average cumulative excess return rate of the sample pool is 20.59 and about 11 percent in the past two years, 4 months after the release of the forecast. On the basis of the above statistical results. This paper also focuses on the driving factors of the event excess return, and finds that different reasons of turning losses have different driving forces. Among them, the "turnaround" driven by the improvement of business ability is significantly related to the excess return.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F275

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