“年报”与“非典”的公告日效应:比较及含义

年报公告,是上市公司向投资者披露业绩和成长机会的重要事件。理论上讲,通过事件研究法应该可以检测出明显的"年报"公告日效应。但在中国证券市场上,有相当一些公司却不能检测出与逻辑期望相一致的公告日效应。对此,有人认为是由于投资者并不关心基本面的信息,因此不能及时对业绩信息做出反应,并在股票价格中有所体现。但我们猜测,也有可能是其它原因,比如年报信息的提前泄露。非典事件是一个没有信息泄露的事件,我们选择同一组样本,用非典事件做对照研究,试图找到有关信息泄露猜测的证据。

Annual Report and SARS Announcement Effect:Comparison and Content

To some extent we can not find expected market reaction,which should be logically consistent to the financial performance,to the announcement of annual report in some Chinese listed companies.Somebody concludes that it is due to the investors’ignorance of the information of performance.Is this conclusion true?Since nobody knows the SARS event in details until the Chinese government announced the truth on April 20.This provides us with a good opportunity to test whether the market reaction to an announcement with full information is rational.Put SARS as matching event,we argue that the release in advance should play an important role in the explanation on the reaction to annual report.