信息不确定性与盈余公告后漂移现象(PEAD)——来自中国上市公司的经验证据

盈余公告后的漂移现象(PEAD)一直是财务学和会计学关注的热点之一。本文从信息不确定性的角度出发,对PEAD现象的存在性和持续性问题作了研究。我们的结论是:信息质量是PEAD产生和持续的重要原因之一,它既可以通过影响未预期盈余的大小,间接影响盈余公告后的漂移现象(PEAD),这主要表现在,信息质量差的股票多集中在未预期盈余极端组合中;也可以直接对PEAD产生影响,即在盈余公告后,信息质量差的投资组合平均累计超常收益大于信息质量好的投资组合。另外,随着时间推移,信息质量差的投资组合的超常收益下降幅度较大,这主要是因为随着理性的投资者对盈余公告中的相关信息的解读,信息不确定性下降,风险逐步释放,所以这类股票的超常收益下降幅度较大,而信息质量好的股票有较少的信息不确定性,故超常收益下降较少。

The Relationship between Uncertainty about Information and Post Earnings Announcement Drift-Evidence from the Experiences of China's Listed Companies

Post-earnings announcement drift (PEAD) has been one of the topical issues in academics in camerralistics and accounting. Starting from the study of uncertainty about information, we have probed into the appearance and continued existence of PEAD. We have concluded that the quality of information is one of the important causes for the emergence and survival of PEAD; and that not only can it indirectly affect PEAD by working on unexpected earnings, which finds expression mainly in the fact that most securities about which the information is highly uncertain have the unexpected earnings mixes, but also it can produce direct effect on PEAD, that is to say, after earnings announcement, the average accumulated abnormal returns of investment mixes with high information uncertainty are more than those of investment mixes with low information uncertainty. On the other hand, with the passage of time, the abnormal returns of securities mixes with information of low quality will drop by a wider margin, mainly because, as rational investors will gradually collect and understand the related information disclosed in earnings announcements, the information uncertainty will decrease and risks will be reduced little by little; conversely, because holders of securities are less uncertain of the information, their abnormal returns will decline by a narrower margin.