中国上市公司节前公告效应实证研究

发布时间：2018-03-14 05:07

本文选题：节前公告效应　切入点：事件研究法　出处：《西南交通大学》2017年硕士论文　论文类型：学位论文

【摘要】：Autoreetal.(2015)研究了美国证券市场上的节前公告效应,即把出现在节前公告日的收益率异常高的这种积极反应,称作为"公司节前公告效应",该文章主要研究了美国市场上的股票回购、增发、收购以及盈余四种类型的公告,在节前发布与在普通日发布不同的市场反应,结果证明美国存在着显著正的节前公告效应,并且分析发现这一现象与投资者的情绪相关。而我国的证券市场的发展具有一定的特殊性,节日文化对人们的意义也不一样。在这样的市场背景下,研究上市公司节前公告效应在中国市场的反应具有重要意义。本文主要运用事件研究法研究上市公司节前公告效应的市场反应。以2013年1月1日-2015年12月31日上证A股非金融类上市公司公告为样本,选用中国具有代表性的节日,构建节前虚拟变量,用公告日当天交易日以及下一个交易日两天的累计异常收益率作为被解释变量,比较上市公司节前发布公告与非节前发布公告间的市场反应差异。实证结果表明,股票市场总体上存在公司节前公告效应,具体表现为公告发布在节前交易日的累计异常收益显著为负。将公告分类后,发现节前发布好消息公告同样对市场有负向影响,但节前发布坏消息公告影响不显著。稳健性检验采用确保事件窗口不会扩展到节日后的方法,即被解释变量用异常收益率替代两天的累计异常收益率,同样证明了上市公司节前公告效应的存在。随后,从行为金融学角度分析影响节前公告效应的潜在原因,包括投资者关注以及投资者情绪。投资者关注对上市公司节前公告效应的影响不显著,说明投资者关注不是影响上市公司节前公告效应存在的原因。研究发现投资者情绪对上市公司节前公告效应的影响显著,具体表现为投资者情绪对于节前发布公告反应有负向的影响。这表明相对于普通日发布公告来说,投资者并不看好上市公司节前发布的公告消息。同时,分析证明了投资者情绪是节前公告效应的影响原因。在对于节前公告效应的其他分析中,发现:(1)市场存在一个过度反应的情况,表现为节前公告效应在之后一个星期内出现显著的正向反转,但在之后的两个星期内表现不明显,证明了市场不是一个有效市场:(2)将周历效应作为控制变量加入模型中,发现节前公告效应仍然显著存在,说明节前公告效应不受周历效应的影响;(3)研究发现中国股票市场不存在节后公告效应。结合以上结论可以得出,本文很好的解释了节前公告效应这一事件的市场反应情况,分析了中国市场上存在节前公告效应,为以后的研究提供了经验证据。
[Abstract]:Autoreetal.China (2015) has studied the pre-season announcement effect in the US stock market, that is, the positive response of unusually high returns on the pre-season announcement day, which is called the "company pre-festival announcement effect". This article mainly studies stock buybacks in the United States market. Four types of announcements, namely, issuance, acquisition and earnings, have different market responses before and on normal days. The results show that there is a significant positive pre-season announcement effect in the United States. And it is found that this phenomenon is related to investor sentiment. However, the development of China's securities market has its own particularity, and the significance of festival culture to people is also different. Under such a market background, It is of great significance to study the reaction of the pre-festival announcement effect of listed companies in China market. This paper mainly studies the market reaction of pre-festival announcement effect of listed companies by the method of event study. From January 1st 2013 to December 31st 2015, this paper studies the market reaction of pre-festival announcement effect of listed companies. The announcement of A shares in non-financial listed companies is a sample. In this paper, the representative festivals in China are selected to construct the virtual variables before the festival, and the cumulative abnormal return rate on the day of announcement and the next trading day is used as the explained variable. The empirical results show that the stock market as a whole has the effect of pre-festival announcement. After classifying the announcements, it is found that issuing good news announcements before the festival also has a negative impact on the market. But the impact of the bad news announcement before the festival was not significant. The robustness test used the method of ensuring that the event window did not extend to the post-holiday period, that is, the explanatory variable replaced the cumulative abnormal rate of return for two days with the abnormal rate of return. It also proves the existence of pre-festival announcement effect of listed companies. Then, from the perspective of behavioral finance, this paper analyzes the potential reasons that affect the pre-festival announcement effect. Including investor concerns and investor sentiment. The impact of investor concerns on the pre-festival announcement effect of listed companies is not significant. The results show that investor concern is not the reason why the pre-festival announcement effect of listed companies is affected. The study finds that investor sentiment has a significant effect on the pre-festival announcement effect of listed companies. This shows that investor sentiment has a negative impact on the response to the pre-holiday announcement. This shows that investors are not optimistic about the pre-festival announcement of a listed company compared with the normal daily announcement. At the same time, The analysis proves that investor sentiment is the reason for the pre-season announcement effect. In other analyses of the pre-season announcement effect, we find that there is an overreaction in the market. It is shown that the pre-season announcement effect appears a significant positive reversal in the following week, but it is not obvious in the following two weeks, which proves that the market is not an efficient market. (2) the calendar effect is added to the model as a control variable. It is found that there is still a significant pre-season announcement effect, which indicates that the pre-festival announcement effect is not affected by the calendar effect. (3) the study shows that there is no postganglionic announcement effect in China's stock market. This paper gives a good explanation of the market reaction of the pre-season announcement effect, and analyzes the existence of pre-season announcement effect in the Chinese market, which provides empirical evidence for future research.
【学位授予单位】：西南交通大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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