發(fā)布時間：2019-06-14 19:40

【摘要】：隨著我國資本市場建設(shè)的推進(jìn)和開放，滬深股票市場也逐漸走向成熟，整體上從以往的弱式有效市場逐漸向半強(qiáng)式有效市場演變。但是，信息效率差異的原因是什么？在這個演變過程中是否所有行業(yè)的有效性都是同步變化的？各行業(yè)的有效性是否相同？目前，，國內(nèi)學(xué)者并無人進(jìn)行相關(guān)研究或者給出研究結(jié)果。 本文正是基于這樣的背景下，以滬深股市采掘、食品飲料兩個行業(yè)2009年、2010年、2011年三年的年報公告作為樣本，采用事件研究法對兩個行業(yè)年報公告前后20天的股價變動進(jìn)行實證分析，力圖通過統(tǒng)計檢驗來判斷年報公告前后的事件期內(nèi)是否存在異常收益；同時，本文通過年報實際EPS與機(jī)構(gòu)一致性預(yù)測EPS的差值來區(qū)分“好消息”與“壞消息”，并觀察不同分組的股票是否存在不同的累計異常收益。 通過對采掘、食品飲料共計242個有效樣本的實證研究，本文發(fā)現(xiàn)食品飲料行業(yè)無論是從會計信息含量還是會計信息傳遞的效率來說，均要優(yōu)于采掘行業(yè)，也就是說食品飲料行業(yè)的會計信息有效性要高于采掘行業(yè)，而造成其有效性差異的原因很有可能與行業(yè)在整個產(chǎn)業(yè)鏈中的位置相關(guān)。 最后，本文根據(jù)研究結(jié)果對投資實踐給出了相關(guān)建議，并且根據(jù)研究的不足之處，給出了后續(xù)研究的建議。
[Abstract]:With the promotion and opening of the construction of capital market in China, the stock market of Shanghai and Shenzhen is gradually mature, and has gradually changed from the past weak effective market to the semi-strong effective market. But what is the reason for the difference in information efficiency? Is there a change in the effectiveness of all industries in this evolution? Is the effectiveness of each industry the same? At present, the domestic scholars do not carry out the relevant research or give the results of the research. This paper is based on the background that the annual report of the two industries, such as Shanghai-Shenzhen stock market extraction and food and beverage industry in 2009,2010 and 2011, is used as a sample, and the stock price changes of the two industry annual report announcements before and after the announcement of the annual report of the two industries are analyzed by the event study method. In this paper, we try to judge whether there are abnormal returns in the event period before and after the annual report announcement through statistical test. At the same time, the difference between the actual EPS and the institutional consistency of the annual report is used to distinguish the "The good news" and the "Bad news", and whether the shares of different groups have different accumulated abnormal receipts In this paper, we find that the food and beverage industry is superior to the production of the accounting information and the efficiency of the accounting information transmission through the empirical study of the total 242 effective samples of the extractive and food drinks. In other words, the efficiency of the accounting information in the food and beverage industry is higher than that of the mining industry, and the reason for the difference is likely to be related to the position of the industry in the whole industrial chain Finally, based on the results of the research, this paper gives some suggestions on the investment practice, and gives the follow-up according to the deficiency of the research.
【學(xué)位授予單位】：上海交通大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F275;F832.51;F224

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本文編號：2499632