【摘要】：公司調(diào)研是指,證券分析師、投資者等前往公司,與公司代表進(jìn)行交流、參觀公司生產(chǎn)現(xiàn)場(chǎng)的一種投資者關(guān)系活動(dòng)。公司調(diào)研的參與者一般為證券公司分析師以及機(jī)構(gòu)投資者,普通的個(gè)人投資者難以獲得對(duì)公司進(jìn)行實(shí)地調(diào)研的機(jī)會(huì)。2012年7月,深交所要求上市公司及時(shí)通過深交所"互動(dòng)易"網(wǎng)站披露其接受投資者調(diào)研的信息。自此,深交所上市公司調(diào)研的參與者以及調(diào)研主要內(nèi)容成為其公開披露的信息。而上交所并不要求上市公司披露其接受投資者調(diào)研的情況。因此,滬深交易所關(guān)于公司調(diào)研信息的披露制度自2012年7月開始形成明顯差別。本文利用深交所獨(dú)特的信息披露制度,研究投資者調(diào)研情況的披露是否會(huì)提高投資者對(duì)信息的反應(yīng)效率,從而減少盈余公告后價(jià)格漂移。本文首先2012年7月開始改變的投資者調(diào)研信息披露制度與深交所盈余公告效應(yīng)的變化之間的關(guān)系。本文發(fā)現(xiàn),在深交所投資者調(diào)研信息披露制度變化后,深交所上市公司的盈余公告效應(yīng)顯著降低。為了控制市場(chǎng)整體信息環(huán)境、流動(dòng)性等因素對(duì)盈余公告效應(yīng)的影響,本文對(duì)比了深交所與上交所在該信息披露制度實(shí)施前后的盈余公告效應(yīng)變化,發(fā)現(xiàn)深交所盈余公告效應(yīng)減弱幅度比上交所更明顯;由此,本文認(rèn)為,深交所關(guān)于投資者調(diào)研信息的披露制度有效地改善了深交所上市公司的信息環(huán)境,減少投資者對(duì)盈余信息的反應(yīng)不足,降低了盈余公告效應(yīng)。并且,投資者調(diào)研情況披露帶來的盈余公告效應(yīng)減弱對(duì)于規(guī)模較小、流動(dòng)性較差的公司比較明顯,而對(duì)于規(guī)模較大、流動(dòng)性較好的公司來說并不明顯。其次,本文檢驗(yàn)了財(cái)務(wù)報(bào)告公布期間發(fā)生并公布投資者調(diào)研的公司的盈余公告效應(yīng)是否呈現(xiàn)明顯減弱。檢驗(yàn)結(jié)果表明,在上市公司整體環(huán)境不變的情況下,財(cái)務(wù)報(bào)告期間發(fā)生并公布投資者調(diào)研并不能顯著減弱其盈余公告后的價(jià)格漂移現(xiàn)象�？傮w來看,雖然調(diào)研情況的及時(shí)披露對(duì)投資者的信息反應(yīng)效率的影響是緩慢、漸進(jìn)式的,但是從長期來看,能夠有效改善公司信息環(huán)境,提高資本市場(chǎng)的信息效率。本文的研究豐富了關(guān)于公司調(diào)研這一重要投資者關(guān)系活動(dòng)的研究,考察了調(diào)研信息披露對(duì)盈余公告效應(yīng)的影響,本文的發(fā)現(xiàn)有助于理解公司調(diào)研在資本市場(chǎng)信息傳遞中的作用,同時(shí)本文也為新興市場(chǎng)中的盈余公告后價(jià)格漂移現(xiàn)象提供了新的證據(jù)。
[Abstract]:Company research refers to a kind of investor relationship activity in which securities analysts, investors, etc. go to the company to communicate with the company representatives and visit the production site of the company. The participants in corporate research are typically securities company analysts and institutional investors, while ordinary individual investors have difficulty getting access to field research on the company. The Shenzhen Stock Exchange requires listed companies to disclose their information on investor research through the Shenzhen Exchange's Interactive Exchange website in a timely manner. Since then, the participants and the main contents of the research on Shenzhen Stock Exchange have become the public disclosure information. The Shanghai Stock Exchange does not require listed companies to disclose their acceptance of investor research. Therefore, the Shanghai and Shenzhen Stock Exchange on the disclosure of corporate research information from July 2012 began to form a clear difference. This paper makes use of the unique information disclosure system of Shenzhen Stock Exchange to study whether the disclosure of investor research will improve the response efficiency of investors to information and thus reduce the price drift after earnings announcement. This paper first studies the relationship between the change of investor information disclosure system and the effect of earnings announcement in Shenzhen Stock Exchange since July 2012. This paper finds that the earnings announcement effect of listed companies in Shenzhen Stock Exchange is significantly reduced after the change of information disclosure system of Shenzhen Stock Exchange investors. In order to control the effect of market information environment, liquidity and other factors on earnings announcement effect, this paper compares the earnings announcement effect between Shenzhen Stock Exchange and Shanghai Stock Exchange before and after the implementation of the information disclosure system. It is found that the effect of earnings announcement of Shenzhen Stock Exchange is more obvious than that of Shanghai Stock Exchange. Therefore, this paper holds that the disclosure system of investor research information of Shenzhen Stock Exchange has effectively improved the information environment of listed companies in Shenzhen Stock Exchange. Reducing investors' insufficient response to earnings information reduces the effect of earnings announcement. Moreover, the earnings announcement effect of investor research disclosure is weaker for the smaller, less liquid companies, but not obvious for the larger and more liquid companies. Secondly, this paper examines whether the earnings announcement effect of the companies that have occurred during the financial reporting period and published by investors is obviously weakened. The results show that under the condition that the overall environment of listed companies remains unchanged, the phenomenon of price drift after earnings announcement can not be significantly reduced by the occurrence and publication of investor research during the financial reporting period. Overall, although the timely disclosure of the investigation situation has a slow and progressive impact on the information response efficiency of investors, in the long run, it can effectively improve the information environment of the company and improve the information efficiency of the capital market. The research in this paper enriches the research on the important investor relationship activity of company research, examines the influence of research information disclosure on earnings announcement effect. The findings of this paper are helpful to understand the role of corporate research in the transmission of capital market information. At the same time, this paper also provides new evidence for the phenomenon of price drift after earnings announcement in emerging markets.
【學(xué)位授予單位】：南京大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F275;F832.51
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本文編號(hào)：2203078