投资者关注对盈余公告效应影响的实证研究
发布时间：2018-08-06 20:02
【摘要】：盈余公告效应表明，由于投资者对盈余信息反应不足，从而使得盈余信息未能及时地融入股价中，即时反应不足导致后期出现滞后反应，该反应不足可能是由于投资者注意力有限所导致的由此可见，从投资者关注的视角出发，分析盈余公告效应具有一定的理论价值和现实意义然而，注意力是十分抽象的认知资源，对投资者关注的测量一直是实证研究的难点国内外学者开始使用网络搜索量来替代投资者关注，所以本文将百度指数作为投资者关注的替代变量，并将其引入到盈余公告效应的研究中 据此，本文利用深交所的信息披露考评等级，以深交所A股主板上市公司为样本，选取百度指数作为投资者关注的替代变量，分析了投资者关注影响盈余公告效应的内在机制研究结果表明：（1）投资者关注程度与信息透明度正相关（2）信息透明度的提高，有利于减少市场的逆向选择，进而增加股票流动性（3）股票流动性的增加，使得投资者能及时有效地将盈余信息纳入投资决策，，盈余信息能快速融入股价之中 本文的研究贡献在于将百度指数引入盈余公告效应的研究中，以深交所A股主板上市公司为研究对象，分析了投资者关注影响盈余公告效应的内在机制，能在一定程度上解释中国的盈余惯性现象，投资者关注与盈余公告效应的研究再次验证了注意力的作用，由此，为吸引有限的注意力，公司必须加强信息披露，增强信息透明度
[Abstract]:The effect of earnings announcement indicates that due to the insufficient response of investors to earnings information, the earnings information does not fit into stock price in time, and the lack of immediate response leads to lag reaction in the later period. This reaction may be caused by the limited attention of investors. From the perspective of investors' attention, it has certain theoretical value and practical significance to analyze the effect of earnings announcement. Attention is a very abstract cognitive resources, the measurement of investor concern has been the difficulty of empirical research, scholars at home and abroad began to use the Internet search volume to replace investor concern. Therefore, this paper takes Baidu index as an alternative variable of investors' concern, and introduces it into the study of earnings announcement effect. Based on this, this paper uses the information disclosure evaluation rating of Shenzhen Stock Exchange. Taking the listed companies on the main board of Shenzhen Stock Exchange as a sample, Baidu Index is selected as the substitute variable of investors' concern. The results show that: (1) the degree of investor concern is positively related to the transparency of information; (2) the improvement of information transparency is conducive to reducing the adverse selection of the market. Then increase the stock liquidity (3) the increase of stock liquidity, so that investors can timely and effectively incorporate earnings information into investment decisions, The contribution of this paper is to introduce the Baidu index into the earnings announcement effect, and take the listed companies on the main board of Shenzhen Stock Exchange as the research object. This paper analyzes the internal mechanism of investors' attention to the effect of earnings announcement, and to some extent explains the phenomenon of earnings inertia in China. The study of investor concern and earnings announcement effect verifies the effect of attention again. To attract limited attention, companies must enhance disclosure and transparency
【学位授予单位】：广东财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F275
本文编号：2168839
[Abstract]:The effect of earnings announcement indicates that due to the insufficient response of investors to earnings information, the earnings information does not fit into stock price in time, and the lack of immediate response leads to lag reaction in the later period. This reaction may be caused by the limited attention of investors. From the perspective of investors' attention, it has certain theoretical value and practical significance to analyze the effect of earnings announcement. Attention is a very abstract cognitive resources, the measurement of investor concern has been the difficulty of empirical research, scholars at home and abroad began to use the Internet search volume to replace investor concern. Therefore, this paper takes Baidu index as an alternative variable of investors' concern, and introduces it into the study of earnings announcement effect. Based on this, this paper uses the information disclosure evaluation rating of Shenzhen Stock Exchange. Taking the listed companies on the main board of Shenzhen Stock Exchange as a sample, Baidu Index is selected as the substitute variable of investors' concern. The results show that: (1) the degree of investor concern is positively related to the transparency of information; (2) the improvement of information transparency is conducive to reducing the adverse selection of the market. Then increase the stock liquidity (3) the increase of stock liquidity, so that investors can timely and effectively incorporate earnings information into investment decisions, The contribution of this paper is to introduce the Baidu index into the earnings announcement effect, and take the listed companies on the main board of Shenzhen Stock Exchange as the research object. This paper analyzes the internal mechanism of investors' attention to the effect of earnings announcement, and to some extent explains the phenomenon of earnings inertia in China. The study of investor concern and earnings announcement effect verifies the effect of attention again. To attract limited attention, companies must enhance disclosure and transparency
【学位授予单位】：广东财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F275
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