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收益公布效应的实证研究
引用本文:林玲, 曾勇, 唐小我,.收益公布效应的实证研究[J].管理科学学报,2001,4(3):46-51.
作者姓名:林玲  曾勇  唐小我  
作者单位:电子科技大学管理学院,
基金项目:国家杰出青年科学基金资助项目(73725005).
摘    要:股票市场的有效性研究是金融经济学的一个重要基础 .国外对此作了广泛深入的研究 ,其中事件研究方法是一个重要的方法 ,其普遍适应性导致了它的广泛应用 .目前对我国股票市场有效性的实证研究尚处于起步阶段 ,本文试图采用事件研究方法主要针对上海股市进行收益公布的实证研究 .本文研究的经验结果对我国股市的半强式有效性提供了一个重要支持

关 键 词:事件研究法    半强式有效    收益公布  
文章编号:1007-9807(2001)03-0046-06
修稿时间:2000年2月14日

Empirical study on effect of earning announcement
LIN Ling,ZENG Yong,TANG Xiao-wo.Empirical study on effect of earning announcement[J].Journal of Management Sciences in China,2001,4(3):46-51.
Authors:LIN Ling  ZENG Yong  TANG Xiao-wo
Abstract:The efficient market hypothesis is an important basis of financial economics. The simple statement of the market efficiency hypothesis is that security prices fully reflect all available information. Usually, market efficiency is divided into three categories: (1)weak form tests (How well do past returns predict future returns?); (2)semistrong form tests (How quickly do security prices reflect public information announcements?); (3)strong form tests(Do any investors have private information that is not fully reflceted in market prices?). From 1970s, foreign studies about it not only are intensive and broad, but also have produced abundant results. And research methodologies and models also have made great progress, where event-study methodology is an important method. The general applicability of the event-study methodology has led to its wide use. In the academic accounting and finance field,event-study methodology has been applied to a variety of firm specific and economy-wide events. Some examples include mergers and acquisitions, earnings announcements and issues of new debt or equity. At present, the positive study on China's stock market's efficiency is still in beginning stage, so event-study methodology is adopted in this paper to do the positive research of earning announcement. The empirical result of the research shows that it is an important support to China's stock market's semistrong form efficiency.
Keywords:event study methodology  semistrong form efficiency  earning announcement  
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