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通过股票价格变化来表征盈余公告效应对投资者情绪影响。结合前人研究,投资者情绪对盈余公告后的价格效应存在影响,且不同市场参与者类型所带来的投资者情绪在一定程度上对股票价格呈显著差异性影响。而后通过构造综合情绪指数分析我国A股、B股交叉上市公司年度盈余公告期间股票异常收益率,予以论证。研究表明:中国A股和B股市场的股票价格变化对于公司好坏盈余消息的反应与理论预期存在较大差异。无论对好消息还是坏消息,A股价格更容易受到投资者情绪的影响,而B股市场受投资者情绪影响相对较小。
The Influence of Earnings Announcement Effect on Investors’ Emotion is Indicated by Stock Price Changes. Combined with the previous studies, the investor sentiment has an impact on the price effect after the earnings announcement, and the investor sentiment brought by different types of market participants has a significant effect on the stock price to a certain extent. And then constructs the comprehensive sentiment index to analyze the abnormal return rate of stock during the annual earnings announcement of A-share and B-share cross-listed companies in our country, which is demonstrated. The research shows that there is a big difference between the reaction of stock price changes in China’s A-share market and B-share market to the good and bad earnings of the company and the theoretical expectation. Regardless of good news or bad news, A-share prices are more susceptible to investor sentiment, while B-share markets are less affected by investor sentiment.