传闻求证信息对股价的影响:基于《股市动态分析周刊》相关栏目的分析

发布时间：2018-11-25 07:21

【摘要】：利用《股市动态分析周刊》杂志传闻求证专栏刊登的传闻求证信息,使用事件研究法,实证分析股价对传闻求证信息的反应。结果表明,传闻求证信息公布前后的股价变动在大多数情况下表现出"前涨后调"的模式,即公布前股价会明显上升,公布后股价会下调,但下调幅度相对较小;既未证实又未证否传闻的求证信息、关于盈利能力和再融资传闻的求证信息公布后股价反应过度,说明股价对传闻求证信息的反应缺乏效率。
[Abstract]:By using the hearsay verification information published in the hearsay seeking column of "Stock Market dynamic Analysis Weekly" magazine, and using the method of event research, this paper empirically analyzes the reaction of stock price to hearsay seeking information. The results show that the stock price changes before and after the announcement of hearsay information show the pattern of "rising before and after adjusting" in most cases, that is, the stock price will rise obviously before and after the announcement, and the stock price will decline after the announcement, but the margin of decline is relatively small; The stock price overreacted after the announcement of the information on profitability and refinancing hearsay, which indicated that the reaction of stock price to hearsay information was inefficient.
【作者单位】： 中央财经大学经济学院;中国人民大学经济学院;
【基金】：国家自然科学基金项目(71350016) 教育部留学回国人员科研启动基金项目 “中央财经大学协同创新中心”经济学院研究项目
【分类号】：F832.51
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本文编号：2355276