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为考察强制性业绩预告能否提高中国股市的有效性,按照应计由低到高将样本等分成10个组合,套利组合是买入应计最低一组的同时卖出应计最高一组,进行大样本检验。结果显示:预告样本套利组合持有半年的超额收益显著为正(9%),持有一年的超额收益不显著区别于0;无预告的样本套利组合的结果则相反。在控制影响超额收益的其他因素之后,预告样本的套利组合仍然提前半年获得显著超额收益。这说明,三季报中的业绩预告可以使预告样本的应计异象提前消失,从而提高了股票市场的有效性。
In order to examine whether the mandatory performance forecast can improve the effectiveness of China’s stock market, the sample is divided into 10 portfolios according to accruals from low to high. The arbitrage portfolios are the highest accruals and the highest accruals, Large sample test. The results show that the excess returns of six months for the forecasted sample arbitrage portfolio are significantly positive (9%) and the one-year excess returns are not significantly different from zero; the result of the no-prep sample arbitrage is opposite. After controlling for other factors affecting excess returns, the arbitrage portfolio of the forecasted samples still received significant excess returns six months ahead of schedule. This shows that the performance notice in the three quarterly newspapers can make the accrued antecedents of the preview sample disappear ahead of schedule, thus improving the effectiveness of the stock market.