公司调研披露对盈余公告效应的影响
发布时间：2018-08-25 13:55
【摘要】：公司调研是指,证券分析师、投资者等前往公司,与公司代表进行交流、参观公司生产现场的一种投资者关系活动。公司调研的参与者一般为证券公司分析师以及机构投资者,普通的个人投资者难以获得对公司进行实地调研的机会。2012年7月,深交所要求上市公司及时通过深交所"互动易"网站披露其接受投资者调研的信息。自此,深交所上市公司调研的参与者以及调研主要内容成为其公开披露的信息。而上交所并不要求上市公司披露其接受投资者调研的情况。因此,沪深交易所关于公司调研信息的披露制度自2012年7月开始形成明显差别。本文利用深交所独特的信息披露制度,研究投资者调研情况的披露是否会提高投资者对信息的反应效率,从而减少盈余公告后价格漂移。本文首先2012年7月开始改变的投资者调研信息披露制度与深交所盈余公告效应的变化之间的关系。本文发现,在深交所投资者调研信息披露制度变化后,深交所上市公司的盈余公告效应显著降低。为了控制市场整体信息环境、流动性等因素对盈余公告效应的影响,本文对比了深交所与上交所在该信息披露制度实施前后的盈余公告效应变化,发现深交所盈余公告效应减弱幅度比上交所更明显;由此,本文认为,深交所关于投资者调研信息的披露制度有效地改善了深交所上市公司的信息环境,减少投资者对盈余信息的反应不足,降低了盈余公告效应。并且,投资者调研情况披露带来的盈余公告效应减弱对于规模较小、流动性较差的公司比较明显,而对于规模较大、流动性较好的公司来说并不明显。其次,本文检验了财务报告公布期间发生并公布投资者调研的公司的盈余公告效应是否呈现明显减弱。检验结果表明,在上市公司整体环境不变的情况下,财务报告期间发生并公布投资者调研并不能显著减弱其盈余公告后的价格漂移现象。总体来看,虽然调研情况的及时披露对投资者的信息反应效率的影响是缓慢、渐进式的,但是从长期来看,能够有效改善公司信息环境,提高资本市场的信息效率。本文的研究丰富了关于公司调研这一重要投资者关系活动的研究,考察了调研信息披露对盈余公告效应的影响,本文的发现有助于理解公司调研在资本市场信息传递中的作用,同时本文也为新兴市场中的盈余公告后价格漂移现象提供了新的证据。
[Abstract]:Company research refers to a kind of investor relationship activity in which securities analysts, investors, etc. go to the company to communicate with the company representatives and visit the production site of the company. The participants in corporate research are typically securities company analysts and institutional investors, while ordinary individual investors have difficulty getting access to field research on the company. The Shenzhen Stock Exchange requires listed companies to disclose their information on investor research through the Shenzhen Exchange's Interactive Exchange website in a timely manner. Since then, the participants and the main contents of the research on Shenzhen Stock Exchange have become the public disclosure information. The Shanghai Stock Exchange does not require listed companies to disclose their acceptance of investor research. Therefore, the Shanghai and Shenzhen Stock Exchange on the disclosure of corporate research information from July 2012 began to form a clear difference. This paper makes use of the unique information disclosure system of Shenzhen Stock Exchange to study whether the disclosure of investor research will improve the response efficiency of investors to information and thus reduce the price drift after earnings announcement. This paper first studies the relationship between the change of investor information disclosure system and the effect of earnings announcement in Shenzhen Stock Exchange since July 2012. This paper finds that the earnings announcement effect of listed companies in Shenzhen Stock Exchange is significantly reduced after the change of information disclosure system of Shenzhen Stock Exchange investors. In order to control the effect of market information environment, liquidity and other factors on earnings announcement effect, this paper compares the earnings announcement effect between Shenzhen Stock Exchange and Shanghai Stock Exchange before and after the implementation of the information disclosure system. It is found that the effect of earnings announcement of Shenzhen Stock Exchange is more obvious than that of Shanghai Stock Exchange. Therefore, this paper holds that the disclosure system of investor research information of Shenzhen Stock Exchange has effectively improved the information environment of listed companies in Shenzhen Stock Exchange. Reducing investors' insufficient response to earnings information reduces the effect of earnings announcement. Moreover, the earnings announcement effect of investor research disclosure is weaker for the smaller, less liquid companies, but not obvious for the larger and more liquid companies. Secondly, this paper examines whether the earnings announcement effect of the companies that have occurred during the financial reporting period and published by investors is obviously weakened. The results show that under the condition that the overall environment of listed companies remains unchanged, the phenomenon of price drift after earnings announcement can not be significantly reduced by the occurrence and publication of investor research during the financial reporting period. Overall, although the timely disclosure of the investigation situation has a slow and progressive impact on the information response efficiency of investors, in the long run, it can effectively improve the information environment of the company and improve the information efficiency of the capital market. The research in this paper enriches the research on the important investor relationship activity of company research, examines the influence of research information disclosure on earnings announcement effect. The findings of this paper are helpful to understand the role of corporate research in the transmission of capital market information. At the same time, this paper also provides new evidence for the phenomenon of price drift after earnings announcement in emerging markets.
【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F275;F832.51
，
本文编号：2203078
[Abstract]:Company research refers to a kind of investor relationship activity in which securities analysts, investors, etc. go to the company to communicate with the company representatives and visit the production site of the company. The participants in corporate research are typically securities company analysts and institutional investors, while ordinary individual investors have difficulty getting access to field research on the company. The Shenzhen Stock Exchange requires listed companies to disclose their information on investor research through the Shenzhen Exchange's Interactive Exchange website in a timely manner. Since then, the participants and the main contents of the research on Shenzhen Stock Exchange have become the public disclosure information. The Shanghai Stock Exchange does not require listed companies to disclose their acceptance of investor research. Therefore, the Shanghai and Shenzhen Stock Exchange on the disclosure of corporate research information from July 2012 began to form a clear difference. This paper makes use of the unique information disclosure system of Shenzhen Stock Exchange to study whether the disclosure of investor research will improve the response efficiency of investors to information and thus reduce the price drift after earnings announcement. This paper first studies the relationship between the change of investor information disclosure system and the effect of earnings announcement in Shenzhen Stock Exchange since July 2012. This paper finds that the earnings announcement effect of listed companies in Shenzhen Stock Exchange is significantly reduced after the change of information disclosure system of Shenzhen Stock Exchange investors. In order to control the effect of market information environment, liquidity and other factors on earnings announcement effect, this paper compares the earnings announcement effect between Shenzhen Stock Exchange and Shanghai Stock Exchange before and after the implementation of the information disclosure system. It is found that the effect of earnings announcement of Shenzhen Stock Exchange is more obvious than that of Shanghai Stock Exchange. Therefore, this paper holds that the disclosure system of investor research information of Shenzhen Stock Exchange has effectively improved the information environment of listed companies in Shenzhen Stock Exchange. Reducing investors' insufficient response to earnings information reduces the effect of earnings announcement. Moreover, the earnings announcement effect of investor research disclosure is weaker for the smaller, less liquid companies, but not obvious for the larger and more liquid companies. Secondly, this paper examines whether the earnings announcement effect of the companies that have occurred during the financial reporting period and published by investors is obviously weakened. The results show that under the condition that the overall environment of listed companies remains unchanged, the phenomenon of price drift after earnings announcement can not be significantly reduced by the occurrence and publication of investor research during the financial reporting period. Overall, although the timely disclosure of the investigation situation has a slow and progressive impact on the information response efficiency of investors, in the long run, it can effectively improve the information environment of the company and improve the information efficiency of the capital market. The research in this paper enriches the research on the important investor relationship activity of company research, examines the influence of research information disclosure on earnings announcement effect. The findings of this paper are helpful to understand the role of corporate research in the transmission of capital market information. At the same time, this paper also provides new evidence for the phenomenon of price drift after earnings announcement in emerging markets.
【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F275;F832.51
，
本文编号：2203078
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