基于投资者有限注意的盈余公告市场反应研究

发布时间：2018-01-04 06:40

本文关键词：基于投资者有限注意的盈余公告市场反应研究　出处：《中南大学》2012年硕士论文　论文类型：学位论文

【摘要】：心理学研究发现人的注意力是有限的,对某一事件的关注必须以牺牲对另一事件的关注为代价。做任何决策都需要信息,面对不断增长的信息量,人们的注意力已经成为一种稀缺资源。在资本市场中,决策之前投资者需要处理各种宏微观信息,受个人有限注意力的限制,投资者必须对注意力进行合理的配置。然而投资者配置注意力时,受个人主观因素、环境因素、信息的客观特征以及信息总量的影响从而不能合理分配注意力,导致一些重要的信息被投资者忽略。近年来国内外学者从有限注意力角度对资本市场进行了大量的研究,但较少以盈余公告的市场反应为研究点。本文以上市公司年报为契机从有限注意力角度研究了盈余公告的市场反应,发现我国年报披露市场存在注意力的“分散效应”与“显眼效应”。文章首先探讨了有限注意的概念及其理论,以及“分散效应”与“显眼效应”的形成机理；其次文章选取了2005年至2010年上市公司年报,采用数据统计方法对比了年报集中披露时期与分散披露时期以及进入年报排行榜和未进入年报排行榜各个公司年报的受关注度差异；文章最后对受投资者关注程度有差异的年报的市场反应进行了实证分析。本文研究的具体结论是：(1)在年报分散披露时期披露年报上市公司的即时市场反应强于集中披露时期披露年报的上市公司,且集中披露时期披露的年报后期15天内存在较强的盈余漂移,即我国年报披露市场存在注意力的“分散效应”；(2)年报披露期间进入央视二台年报排行榜的上市公司年报即时市场反应强于未入榜上市公司,即我国上市公司年报披露期间存在的“显眼效应”,进一步研究发现央视年报排行榜是导致榜内上市公司年报“显眼”的原因；(3)最后文章发现在集中披露时期进入年报排行榜的上市公司即时市场反应不再占据绝对优势,即集中披露时期的注意力“分散效应”强于央视二台年报排行榜的“显眼效应”。
[Abstract]:Psychology study found that people's attention is limited, in the event of a concern must be at the expense of another concern for the price. Any decision to do need information, facing the growing amount of information, people's attention has become a scarce resource. In the capital market, investors need to deal with all kinds of macro decision before micro information, limited attention by personal limitations, investors must have a reasonable allocation of attention. However, investors are allocating attention, by personal subjective factors, environmental factors, the objective characteristics of information and information of the total effect to the rational allocation of attention, leading to some important information been ignored by investors at home and abroad in recent years. Scholars from limited attention angle of the capital market has done a lot of research on the market reaction, but less earnings announcement as the research point. The above city company The annual report takes the opportunity to study the market reaction of earnings announcements from the perspective of limited attention, and finds that the "distraction effect" and "conspicuous effect" of attention in China's annual report market exist.
This paper first discusses the concept and theory of limited attention, and the formation mechanism of "dispersing effect" and "conspicuous effect"; secondly, the article from 2005 to 2010 annual report of listed companies, using statistical methods of data compared to the annual report disclosure period focused on the disclosure and dispersion period and enter the annual rankings and did not enter the annual rankings of each company the annual report of the attention difference; market reaction finally has the difference of annual report by investors concerned about the extent of the empirical analysis.
The conclusions of this study are: (1) the disclosure period of disclosure of real-time market reaction of Listed Companies in the annual report disclosure period from listed companies to disclose the annual report in the annual report disclosure of dispersed and concentrated period, the annual disclosure of late earnings drift strong within 15 days, China's annual report disclosure market attention "dispersing effect"; (2) annual disclosure of the annual report of listed companies to enter the market reaction during the immediate annual list of the two sets of CCTV in not in the list of listed companies, namely China's annual report disclosure of listed companies exist during the "conspicuous effect", further study found that the CCTV annual ranking is the cause of the list in the annual report of listed companies "conspicuous"; (3) finally found in the immediate market reaction period focused on the disclosure of the list to enter the annual report of listed companies no longer occupy absolute advantage, which is focused on the disclosure period of attention" The dispersion effect is stronger than the "prominent effect" of the two annual reports on CCTV.

【学位授予单位】：中南大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F275;F832.51;F224

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