公司季度报告宣布前后意见分歧与卖空限制对股票收益的影响

发布时间：2018-01-12 04:30

本文关键词：公司季度报告宣布前后意见分歧与卖空限制对股票收益的影响　出处：《上海交通大学》2014年硕士论文　论文类型：学位论文

【摘要】：Miller (1977)假说认为在下面两个条件存在时股票价格会被高估：投资者对股票有不同的预期；不能无摩擦的卖空股票。在本文中，，笔者使用事件研究的方法来研究这两个因素在每个季报公布日前后三天的对股票相对收益的影响。我们选取A股在沪深交易所上市的股票作为研究数据样本。针对中国市场，我们采用三个变量作为投资者意见分歧的代理变量（季报前换手率均值，股票相对收益率的方差，公司净利润/资产的方差）并研究他们与公告日前后3天股票收益率的关系。笔者首先研究发现选择的意见分歧代理变量在季报公布后降低。其次，在投资者意见分歧和卖空受限的条件下，意见分歧越大，股票在季报公布前后三天的相对收益越低。
[Abstract]:Miller / 1977) hypothesis holds that the stock price will be overvalued when the following two conditions exist: investors have different expectations of the stock; You can't short stock without friction. In this article. The author uses the method of event study to study the influence of these two factors on the relative return of stock three days before and after each quarterly report day. We select A shares listed on Shanghai and Shenzhen Stock Exchange as the data sample. To the Chinese market. We use three variables as the proxy variable with different opinions (average turnover rate before quarterly report, variance of relative return rate of stock). The relationship between them and the return rate of stock before and after the announcement date is studied. Firstly, the author finds that the agent variable of different opinions is lower after the quarterly report is published. Secondly, the relationship between them and the return rate of stock is studied. With investors divided and short selling restricted, the greater the divergence, the lower the relative earnings of stocks in the three days before and after the quarterly results.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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