业绩预告及其对创业板市场收益率影响的实证研究

发布时间：2018-03-14 08:43

本文选题：年度业绩预告　切入点：事件研究法　出处：《北京物资学院》2014年硕士论文　论文类型：学位论文

【摘要】：本文运用我国A股市场2013年上市公司年度业绩预告数据，对当前我国业绩预告制度实施情况进行研究。从总体上看，我国A股市场业绩预告制度实施情况较为良好。2013年有76.99%的上市公司发布了业绩预告，强制性披露和自愿性披露的业绩预告约各占一半。这说明我国强制性披露和自愿性披露的业绩预告制度正在逐渐建成。从精确性角度看，以点估计形式披露的业绩预告占比最高，其次是区间估计,最后是定性描述。点估计比率大幅提高，定性描述比率显著下降，业绩预告精确性在提升。我们还从精确性的角度发现了上市公司在面对好消息时谨慎，面对坏消息时悲观的倾向。从准确性角度看，由于业绩预告可以进行修正，最后一份业绩预告的准确率高达92.84%，上市公司可以在财务报告披露前提供较为准确的业绩预期。从及时性的角度看，有80%的上市公司能够在财务报告发布前20天公布业绩预告，业绩预告总体披露较为及时。由于创业板市场具有高风险性的特征，，且此前学者没有专门对其业绩预告信息含量进行研究，因此本文接着以创业板市场为切入点，利用事件研究法对其业绩预告发布后股票价格波动进行实证分析,并得到了创业板业绩预告具有信息含量的结论。并且，本研究按照业绩披露类型和上市公司规模对样本进行分类，分别研究不同类型的上市公司在业绩预告后的反应。我们发现市场对坏消息的敏感程度高于好消息。小盘股对消息的敏感程度高于大盘股。坏消息公布后累计平均超额收益率经过短暂的下跌后持续上升，坏消息有提前泄露的可能。本研究还对不同类型公司的累计非正常平均收益率走势进行拟合，从而更直观的表示出市场对业绩预告的反应，为投资者理解市场进行投资提供参考。
[Abstract]:Based on the annual performance forecast data of listed companies in China's A-share market on 2013, this paper makes a study on the implementation of the current performance forecasting system in China. In 2013, 76.99% listed companies issued performance forecasts. Compulsory disclosure and voluntary disclosure account for about half of the performance forecast. This indicates that the performance forecast system of mandatory disclosure and voluntary disclosure is gradually being established in China. From the perspective of accuracy, The proportion of performance forecast disclosed in the form of point estimation is the highest, followed by interval estimation, and then qualitative description. The ratio of point estimation has been greatly increased, and the qualitative description ratio has decreased significantly. In terms of accuracy, we have also found that listed companies tend to be cautious in the face of good news and pessimistic in the face of bad news. The accuracy of the last performance forecast is as high as 92.84%. Listed companies can provide more accurate performance expectations before the financial reports are disclosed. From a timely point of view, 80% of the listed companies can publish performance forecasts 20 days before the release of the financial reports. Performance forecast overall disclosure is more timely. Because the gem market has the characteristics of high risk, and the previous scholars did not specifically study its performance forecast information content, so this paper takes the gem market as the starting point. This paper makes an empirical analysis on the stock price fluctuation after the announcement of the performance forecast by using the event research method, and obtains the conclusion that the performance forecast of the gem has the information content. This study classifies the samples according to the types of performance disclosure and the size of listed companies. We find that the market is more sensitive to bad news than to good news. Small-cap stocks are more sensitive to news than large-cap stocks. The average excess yield continues to rise after a brief decline, The bad news is likely to leak in advance. This study also fits the cumulative abnormal average yield trend of different types of companies, thus more intuitively showing the market response to the earnings forecast. For investors to understand the market for investment to provide a reference.
【学位授予单位】：北京物资学院
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F275

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