深市A股收入公告效应的实证研究

运用2000年以前的年报收入数据计算深市A股的标准非期望收入(SUE)，并利用指标值排斥，构建投资组合，运用事件研究法对深市A股2000年的公告效应进行了实证研究，结果证明中国股市并不存在显著的“收入公告效应(Post—Earnings—Announcement Drift)”，财务报表的收入数据与股价的走势基本相反；检验利用1999年的SUE值排斥构建的投资组合在2000年中报和年报前后的非正常收益率，结果并不能证明中国股市存在“反应不足”的现象。

Post-Earnings-Announcement Drift :Empirical Research in Shenzhen A Stock Market

With historical net income database to work out standardized unexpected earnings(SUE) of A stocks in Shenzhen stock market, we use SUE as an index to rank those stocks and make portfolios to study the stock price reaction around annual financial report in 2000. The evidence presented here is not consistent with the Post Earnings Announcement Drift. On the contrary, the serial of stock price goes just the opposite way in our event study windows. Furthermore, we study the performance of portfolios which are composed due to their SUE in 1999 around the semi annual financial report and the annual financial report of 2000. The result is also inconsistent with foreign studies. It is too complex to be concluded as underreaction.