基于维度的上市公司经营业绩归因信息披露的市场反应研究

发布时间：2018-02-04 02:39

本文关键词： 维度上市公司归因信息市场反应　出处：《沈阳工业大学》2013年硕士论文　论文类型：学位论文

【摘要】：全流通时代，投资者对经营业绩变动原因等语言信息的关注度日益提升。国内外学者对归因语言信息的研究普遍集中于自利性归因行为的检验，对归因信息能否影响投资者决策，归因信息披露能否引起市场反应的研究还非常有限。本文对归因信息影响投资者决策进行理论分析的基础上，运用实证研究方法检验业绩预告归因信息披露的市场反应，并提出完善归因信息披露规范建议。论文的研究有助于提高归因信息披露质量，帮助信息使用者更有效地利用归因信息。论文将维纳的归因效果理论引入到财务报告情境下解释归因信息对投资者决策的影响，预测归因信息披露可能产生的资本市场反应。实证研究部分以2010-2011年395份业绩预告临时公告为样本，运用内容分析法对定性的归因信息进行部位编码和稳定性编码；运用事件研究方法计量业绩预告临时公告披露的资本市场反应；构建多元回归模型检验归因部位和归因稳定性与市场反应之间的关系。研究发现：（1）对于公布好消息公司，披露内部归因比披露外部归因更能使投资者对公司股票价格有好的预期，提供内部归因的市场反应大于提供外部归因的市场反应；好消息公司披露的归因信息稳定性越强，市场反应幅度越大，归因稳定性与市场反应呈正相关关系。（2）对于公布坏消息公司，披露内部归因比披露外部归因更能降低投资者对股票价格的预期，提供内部归因的市场反应小于提供外部归因的市场反应；坏消息公司披露的归因信息稳定性越强，对市场反应的负面影响越大，，归因的稳定性与市场反应负相关。本文运用均值调整模型对累计异常报酬率重新计量，检验回归结果的敏感性，结果表明文章的研究结论具有稳健性。投资者信任管理层在业绩预告中披露的归因信息，且经过对归因的部位及稳定性维度进行判断，据此估计公司的股票价格并做出投资决策。最后论文提出监管机构应制定归因信息披露指导性原则等建议，核心思想是对于理性的投资者能够判断出归因信息的部位和稳定性，从而做出理性的投资决策。
[Abstract]:In the era of full circulation, investors pay more and more attention to linguistic information, such as the reasons of change in business performance. The researches on attribution language information at home and abroad are generally focused on the test of self-interest attribution behavior. The research on whether attribution information can influence investors' decision and whether attribution information disclosure can cause market reaction is very limited. Using the empirical research method to test the market reaction of the attribution information disclosure of the performance forecast, and put forward the suggestion to perfect the attribution information disclosure standard. The research of this paper is helpful to improve the quality of the attribution information disclosure. Help information users to use attribution information more effectively. In this paper, Wiener's attribution effect theory is introduced to explain the impact of attribution information on investors' decision-making in the context of financial reporting. The part of empirical research takes 395 interim announcements of performance forecast in 2010-2011 as a sample and uses content analysis method to encode qualitative attribution information on site and stability. Using the event research method to measure the capital market reaction disclosed in the interim announcement of performance forecast; to construct a multivariate regression model to test the relationship between attribution location, attribution stability and market reaction. Disclosure of internal attribution than disclosure of external attribution can make investors have a better expectation of the company's stock price, and the market response of providing internal attribution is greater than that of providing external attribution, and the stability of attribution information disclosed by good news companies is stronger than that of external attribution. The greater the market response, the more positive correlation between attribution stability and market response.) for bad news companies, disclosure of internal attribution than disclosure of external attribution can lower investors' expectations of stock prices. The greater the stability of attribution information disclosed by bad news companies, the greater the negative impact on market response. The stability of attribution is negatively correlated with market reaction. The results show that the conclusions of this paper are robust. Investors trust the attribution information disclosed by management in the performance forecast, and judge the location and stability of attribution. Estimate the company's stock price and make investment decisions accordingly. Finally, the paper puts forward the suggestion that the regulator should formulate the guiding principle of attribution information disclosure. The core idea is that rational investors can judge the location and stability of attribution information and make rational investment decisions.
【学位授予单位】：沈阳工业大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F275

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