经济与管理
經濟與管理
경제여관리
Economy and Management
2009年
11期
23~26
,共null页
盈余公告 价格漂移 反应不足 交易成本 隐含相关收益率
盈餘公告 價格漂移 反應不足 交易成本 隱含相關收益率
영여공고 개격표이 반응불족 교역성본 은함상관수익솔
earning announcement; price drift; underreaction; transaction costs; correlation implied returns;
以上市公司业绩预告或盈余公告日的数据计算隐含相关收益率并构造投资组合,研究已公告公司的盈余信息对行业内未公告公司股票价格的影响,可以发现市场在信息传递过程中存在反应不足并产生＂异象＂,这一＂异象＂可认为是盈余公告前的价格漂移。
以上市公司業績預告或盈餘公告日的數據計算隱含相關收益率併構造投資組閤,研究已公告公司的盈餘信息對行業內未公告公司股票價格的影響,可以髮現市場在信息傳遞過程中存在反應不足併產生＂異象＂,這一＂異象＂可認為是盈餘公告前的價格漂移。
이상시공사업적예고혹영여공고일적수거계산은함상관수익솔병구조투자조합,연구이공고공사적영여신식대행업내미공고공사고표개격적영향,가이발현시장재신식전체과정중존재반응불족병산생＂이상＂,저일＂이상＂가인위시영여공고전적개격표이。
By studying on the response of stock price of nonannounceing firms to quarterly earnings information from announced firm in the same industry,selecting the pre-announcement of expected performance or earnings announcement of listing corporation as the samples,based on the drift effects on post-announcement of earning in the control according to the calculated correlation implied returns and constructed investment portfolio,we can find that market appears to underreact and the abnormal phenomenon to the transfer of earning news. It is proved that there exist the pre-eaming announcement drift.
