公司季度报告宣布前后意见分歧与卖空限制对股票收益的影响

摘要

Miller(1977)假说认为在下面两个条件存在时股票价格会被高估：投资者对股票有不同的预期；不能无摩擦的卖空股票。在本文中，笔者使用事件研究的方法来研究这两个因素在每个季报公布日前后三天的对股票相对收益的影响。我们选取A股在沪深交易所上市的股票作为研究数据样本。针对中国市场，我们采用三个变量作为投资者意见分歧的代理变量（季报前换手率均值，股票相对收益率的方差，公司净利润/资产的方差）并研究他们与公告日前后3天股票收益率的关系。笔者首先研究发现选择的意见分歧代理变量在季报公布后降低。其次，在投资者意见分歧和卖空受限的条件下，意见分歧越大，股票在季报公布前后三天的相对收益越低。

目录

封面

声明

目录

英文摘要

中文摘要

Introduction

1. Literature review

1.1 Studies about the effect of short sale constraint

1.2 Studies about the effect of divergence of opinions

1.3 Study on short sale constraint and differences of opinions together

1.4 Research on the A share market

2. Measurement for differences of opinions and short sale constraint

2.1 Proxies for differences of opinions

2.2 Proxies for short sale constraint

2.3 Definition of RELATIVE_RETURN

3. Data and sample description

3.1 Sample description

3.2 Change of differences of opinions after the earnings announcement

4. Correlation between the proxies and relative return

4.1 Influence of differences of opinions and short sale constraint on relative return

4.2 Impact of short sale constraint

4.3 The hedge return around a longer event window

5. Robust test

5.1 The effect of MV and MB

5.2 The effect of leverage

5.3 The effect of return of momentum

5.4 The effect of post-earnings announcement drift

Conclusion

参考文献

致谢

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