上市公司盈余公告期间股价反应研究——基于投资者异质解释的视角

以上市公司定期披露的年报为研究对象，从投资者异质解释的视角对上市公司盈余公告披露期间的股价反应进行研究。发现公告日前后股票的超额收益与投资者对盈余信息的异质解释正相关，其原因是异质解释会使投资者之间产生意见分歧。在市场存在卖空限制的条件下，股价会因为体现乐观性偏差而被高估，高估的幅度与投资者对盈余信息的异质解释正相关。进一步的研究发现，投资者对好消息的异质解释引起的股价高估程度强于坏消息。

Research on reaction of stock price during earnings announcement of listed company:from perspective of heterogeneous interpretations of investors

The annual announcements which disclosed periodically by listed company are taken as research object,and the reaction of stock price during earnings announcement of listed company is studied from perspective of heterogeneous interpretations of investors.It is found that the excess earnings of stock around announcement date is positive correlated with the heterogeneous interpretations on earnings information of investors,whose reason is the opinion divergence between investors caused by heterogeneous interpretations.Under the market circumstance of short sales constraint,the stock will be overpriced because of optimistic deviation,and the overprice degree is positive correlated with the heterogeneous interpretations on earnings information of investors.Further research indicates that the overprice degree caused by heterogeneous interpretations on good news of investors is higher than bad news.