基于微观结构视角的非经常性损益噪音研究

发布时间：2018-10-10 12:28

【摘要】：以证监会对非经常性损益的修订为事件,选择深市2004年度披露的非经常性损益的上市公司为研究对象,采用非经常性损益的定价误差方法以及加入虚拟变量的日内收益和隔夜收益的回归分析方法,并将非经常性损益区分为非经常性收益和非经常性损失后分组进行分析,从市场微观结构角度对非经常性收益和损失的信息噪音进行研究。研究结果表明,事件日后的非经常性损失定价误差明显降低,其信息噪音降低,而非经常性收益只有最大值组的定价误差明显降低。日间收益和隔夜收益的回归结果表明,由于非经常性收益和损失造成暂时偏离价值的价格会迅速得到修正,非经常性收益和损失的信息噪音降低。证监会对非经常性损益的修订在一定程度上降低了其信息噪音,政策实施后具有一定的效果。
[Abstract]:Taking the CSRC's revision of non-recurrent gains and losses as an event, the listed companies with non-recurrent profits and losses disclosed in the Shenzhen Stock Exchange in 2004 were selected as the research objects. The pricing error method of non-recurrent profit and loss and the regression analysis method of intra-day income and overnight income with virtual variable are adopted, and the non-recurrent profit and loss are divided into non-recurrent income and non-recurrent loss. This paper studies the information noise of non-recurrent income and loss from the view of market microstructure. The results show that the pricing error of the non-recurrent loss is obviously reduced and the information noise is decreased, while the pricing error of the maximum value group is obviously reduced after the event. The regression results of daytime income and overnight income show that the price of temporary deviation from value caused by non-recurrent income and loss will be corrected quickly and the information noise of non-recurrent income and loss will be reduced. The Securities Regulatory Commission's revision of non-recurrent profit and loss reduces its information noise to a certain extent and has certain effect after the implementation of the policy.
【作者单位】：中国人民大学商学院;
【基金】：中国人民大学研究生科学研究基金(08XNH081)~~
【分类号】：F830.91;F275

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