本文選題：投資者關(guān)注 + 盈余公告��； 參考：《金融研究》2012年11期

【摘要】：由于周末信息的累積效應(yīng),股票市場(chǎng)在周一表現(xiàn)出高波動(dòng)性,投資者基于風(fēng)險(xiǎn)認(rèn)知而提高對(duì)股市的關(guān)注程度。本文比較了市場(chǎng)對(duì)周一和其他工作日盈余公告的不同反應(yīng)后發(fā)現(xiàn):與其他工作日盈余公告相比,周一盈余公告表現(xiàn)出更高程度的公告日價(jià)格反應(yīng),更低程度的公告后價(jià)格漂移現(xiàn)象,盈余公告價(jià)格反應(yīng)的周歷差異主要表現(xiàn)在股市上升時(shí)期,投資者在周一的交易行為更加謹(jǐn)慎,周一盈余公告伴隨著更低的公告日市場(chǎng)異常交易量。上述結(jié)果表明,投資者注意力是一種稀缺的認(rèn)知資源,其分配方式影響上市公司信息披露產(chǎn)生的經(jīng)濟(jì)后果。
[Abstract]:The stock market showed high volatility on Monday as a result of the cumulative effect of the weekend information, and investors raised concerns about the stock market based on risk perception. This paper compared the difference between Monday and other working day earnings announcements and found that Monday's earnings announcement was higher than other working day earnings announcements. The price response of the announcement day, the lower price drift after the announcement, the weekly difference of the earnings announcement price reaction are mainly in the period of the stock market rising, the investor's trading behavior on Monday is more cautious, and the Monday earnings announcement is accompanied by the lower announcement day market abnormal turnover. The above results show that the investor's attention is one. The scarcity of cognitive resources affects the economic consequences of information disclosure of listed companies.
【作者單位】： 上海對(duì)外貿(mào)易學(xué)院金融管理學(xué)院;華東理工大學(xué)商學(xué)院;華中科技大學(xué)經(jīng)濟(jì)學(xué)院;中國(guó)人民大學(xué)財(cái)政金融學(xué)院;
【基金】：國(guó)家自然科學(xué)基金項(xiàng)目(71203139;71273271;71173078;71002052) 教育部人文社科基金項(xiàng)目(12YJC630203) 中央高�；鹂蒲袠I(yè)務(wù)費(fèi)(HUST:2010AW023) 上海市教育發(fā)展基金會(huì)“晨光計(jì)劃”(12CG64) 上海市教委重點(diǎn)學(xué)科金融學(xué)建設(shè)項(xiàng)目(J512-01)的資助
【分類(lèi)號(hào)】：F224;F832.51

【共引文獻(xiàn)】

相關(guān)期刊論文 前10條

1 劉駿江;李莉莉;甘法嶺;;基于修正GARCH模型的中國(guó)股市周內(nèi)效應(yīng)實(shí)證研究[J];青島大學(xué)學(xué)報(bào)(自然科學(xué)版);2011年01期

2 王鴻冰,楊p，

本文編號(hào)：1949146