我国股市对盈利信息反应的进一步检验

本文选取盈利信息作为反应事件,检验我国股票市场对盈利信息是否存在过度反应现象。结合中国股市的发展阶段和特征考虑投资者的心理感觉,根据平均每股收益的高低来划分投资者心目中的赢输家组合,考察组合在年报公布后三年内的累计超额收益,发现两组合的长期收益出现反转,我国股市对盈利信息存在明显的过度反应现象。此外考察了不同行业股票的过度反应情况,发现高成长、高风险行业股票的过度反应程度并不比传统行业股票强。最后,通过构造套利组合来检验赢输家组合的风险差异,得出过度反应现象主要不是风险差异造成的结论。

Further Test on Reaction of China Stock Market to Earnings Information

The earnings announcements are chosen as the events for testing whether China stock market overreacts to the earnings information. The investor psychology is considered by combining the developing period and characteristics of China stock market. The winner portfolio and loser portfolio are divided according to the average earnings per share. The cumulated abnormal returns of the portfolio are tested within three years after the annual statements. There is a reversion in the long-term return of the two portfolios. China stock market overreact significantly to the earning information. Moreover, we research the overreaction in different industries and document a less significant overreaction in the high-growth and high-risk industries than in traditional industries. Finally, we find that overreaction is not mainly caused by the risk difference after testing the risk difference between the two portfolios by constructing arbitrage portfolio.