投资者异质信念与证券市场盈余公告效应研究

盈余公告效应异象在各国资本市场普遍存在，行为金融理论中的投资者异质信念视角能较好地解释该异象。实证结果表明：投资者异质信念与盈余公告前后短期内累积超额收益率显著正相关，与盈余公告后长期累积超额收益率显著负相关；其中，低盈余质量强化了这种负向影响。投资者异质信念程度越大、盈余质量越低，长期累积超额收益率越小。

A Study of Investors Heterogeneous Beliefs and the Post-Earnings Announcement Drift in the Securities Market

Post-earnings announcement drift is very commom on countries capital markets.The heterogeneous beliefs can explan this anomaly preferably. The empirical test results show that there is a significant positive(negative) correlation between investors heterogeneous beliefs and cumulative abnormal return short-term around (long-term after) the earnings announcement,and the low earnings quality may strengthen this negative impact.With greater heterogeneous beliefs and lower earnings information quality, the long-term cumulative abnormal return will be smaller.