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国外对盈利公告效应(earnings announcement effect)的研究得出两条规律:(1)提前依次异动:股价不仅在盈利公告当日依次变动,而且之前已提早反应。(2)后动有序持续:股价的走势在公告后较长时间内依然不变。这两条规律在我国也存在吗?本文旨在探索上述市场规律,寻找我国盈利公告效应的动态特征。我们运用事件分析法考察了1998—2000年闻沪市对上市公司盈利公告的反应。结果发现,上述两条规律在我国均有不同形式的体现。首先,股价确有提前异动,但仅限于盈利有增长的公司,其原因并非完全出于市场预期,却不排除有消息泄露的可能性。其次,股价亦有后动持续现象,但相当无序,表现最佳的竟为盈利最差的公司,其股价在公告之后大幅上涨;究其原因,它与我国特有的宝贵“壳资源”现象关系密切。
Foreign studies on the earnings announcement effect come to two rules: (1) Advance and orderly changes: The stock price not only changes sequentially on the day of the earnings announcement, but also has earlier reacted earlier. (2) After the move continued orderly: the trend of the stock price after the announcement a long time remains unchanged. These two laws also exist in our country? The purpose of this paper is to explore the market rules and find out the dynamic characteristics of China’s earnings announcement. We use incident analysis to examine the 1998-2000 Shanghai and Shanghai listed companies on the earnings announcement response. The result shows that the above two laws all have different forms in our country. First of all, the stock price does move ahead of schedule. However, the reason for this is not entirely based on market expectations but does not rule out the possibility of a news leak. Second, the stock price also has a sustained aftermath. However, it is rather disorderly and the best-performing company is the worst-performing company. Its share price soared sharply after the announcement. The reason for this is that it is not as valuable as China’s “shell resource” Phenomenon is closely related.