基于季报数据的收入公告后漂移现象研究

利用收入指标对股票超额收益率进行解释构成了理解"定价异常"的重要方面。为此,基于盈余公告后漂移的理论分析框架,以上证A股2008年1季度至2011年4季度的相关数据为基础,利用标准化预期外收入估计量(SURE)和分类检验模型方法对中国股票市场公告期内股票价格的收入公告后漂移现象进行实证检验,研究发现:在盈余公告期内,预期外收入与股票超额收益率呈现出负相关或是不显著的关系,即中国股票市场的收入公告后漂移效应不显著。之后的稳健性分析也同样证实了负相关或是不显著关系的存在,而这种异常可能与中国股市的弱有效率相关。

A Research About Post Revenue Announcement Drift Based on Quarterly Data

In order to understand the ＂Asset Pricing Anomalies＂,it is one of the most important aspects that using revenue index to explain the abnormal returns.Hence,under the theoretical framework of PEAD,we investigates into the relation between revenue surprises and stock prices reactions for short announcement window period in Shanghai A-share market in China.Further,it also explores the robust tests incorporated with different SURE（standard unexpected revenue estimator） groups and technology firms.Overall,the findings demonstrate that revenue surprises are insignificant and even negatively（statistically insignificant） associated with abnormal returns around announcement window period.Meanwhile,the similar results conducting by robust tests provide more evidences that the findings in this research investigated are feasible and valid.Finally,critical arguments suggest the anomaly of Chinese A-share market,which indicates the insignificant effects of revenue surprises on stock prices,might be related to weak-form efficiency（even inefficiency） in Chinese A-share market.