投资者关注与盈余公告周一效应

发布时间：2018-05-29 02:28

本文选题：投资者关注 + 盈余公告　；参考：《金融研究》2012年11期

【摘要】：由于周末信息的累积效应,股票市场在周一表现出高波动性,投资者基于风险认知而提高对股市的关注程度。本文比较了市场对周一和其他工作日盈余公告的不同反应后发现:与其他工作日盈余公告相比,周一盈余公告表现出更高程度的公告日价格反应,更低程度的公告后价格漂移现象,盈余公告价格反应的周历差异主要表现在股市上升时期,投资者在周一的交易行为更加谨慎,周一盈余公告伴随着更低的公告日市场异常交易量。上述结果表明,投资者注意力是一种稀缺的认知资源,其分配方式影响上市公司信息披露产生的经济后果。
[Abstract]:The stock market showed high volatility on Monday as a result of the cumulative effect of the weekend information, and investors raised concerns about the stock market based on risk perception. This paper compared the difference between Monday and other working day earnings announcements and found that Monday's earnings announcement was higher than other working day earnings announcements. The price response of the announcement day, the lower price drift after the announcement, the weekly difference of the earnings announcement price reaction are mainly in the period of the stock market rising, the investor's trading behavior on Monday is more cautious, and the Monday earnings announcement is accompanied by the lower announcement day market abnormal turnover. The above results show that the investor's attention is one. The scarcity of cognitive resources affects the economic consequences of information disclosure of listed companies.
【作者单位】：上海对外贸易学院金融管理学院;华东理工大学商学院;华中科技大学经济学院;中国人民大学财政金融学院;
【基金】：国家自然科学基金项目(71203139;71273271;71173078;71002052) 教育部人文社科基金项目(12YJC630203) 中央高校基金科研业务费(HUST:2010AW023) 上海市教育发展基金会“晨光计划”(12CG64) 上海市教委重点学科金融学建设项目(J512-01)的资助
【分类号】：F224;F832.51

【共引文献】