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我国中期业绩快报的多角度实证研究

作　者: 陈倩
导　师: 杜倩倩
学　校: 上海交通大学
专　业: 金融
关键词: 业绩快报市场反应信息质量发布动因
分类号:
类　型: 硕士论文
年　份: 2013年
下　载: 10次
引　用: 0次
阅　读: 论文下载

内容摘要

业绩快报是我国上市公司公告体系中的一项制度创新。业绩快报在财政年度或半年度结束后、定期报告报出前发布，以减轻投资者的信息不对称程度，保护中小投资者的知情权。目前，国内文献对年度业绩快报研究相对较多，主要集中在制度应用及信息含量领域，对自愿发布的中期业绩快报研究很少。不同于有条件强制发布的年度业绩快报，半年度业绩快报均为自愿发布。透过自愿发布的独特属性，能发掘管理层报告的动因，检验半年度业绩快报制度的作用和效果，研究其可能出现的不同于年度业绩快报的市场反应。本文旨在通过实证分析，检验中期业绩快报的信息含量、市场反应，以及中期业绩快报对半年报发布前后股价波动的影响，并尝试找出管理层自愿披露中期业绩快报的动因。文章选取了2008年至2012年五年间中国A股市场795个发布中期业绩快报的公司样本，以及5324个未发布中期业绩快报的公司样本，较过往研究相比，样本量大大增加。研究实证结果显示，中期业绩快报具有信息含量，其中包含的未预期盈余与发布日前后的股票累计超额收益率显著正相关；中期业绩快报能显著减弱半年报发布日前后短期内的股价波动，起到提前释放风险及不确定信息、稳定股价的作用；信息质量好、时效性高的中期业绩快报更有助于减小半年报发布日前后股票的绝对累计超额收益率。本文研究还发现，较高的信息不对称程度是管理层主动发布中期业绩快报的动因之一，具有有效的公司治理环境的企业也更倾向于发布中期业绩快报；另外，管理层更愿意在中期业绩快报中提前披露利好的业绩信息。

全文目录

Abstract  5-7
摘要  7-8
1. Introduction  8-11
  1.1 Research background  8-9
  1.2 Basic idea and innovation  9-10
  1.3 Section outline  10-11
2. Introduction of institution development of earnings forecasts  11-14
  2.1 Earnings preannouncement  11-12
  2.2 Preliminary earnings estimate  12-14
3. Literature review  14-20
  3.1 Cornerstone for studies on information content of accounting earnings  14-15
    3.1.1 Information asymmetry  14
    3.1.2 Efficient market hypothesis  14-15
    3.1.3 Information content  15
  3.2 Earnings forecasts and market reaction  15-17
    3.2.1 Foreign studies  15-16
    3.2.2 Chinese studies  16-17
  3.3 Disclosing strategy  17-20
    3.3.1 Timeliness  17-18
    3.3.2 Corporate governance  18
    3.3.3 Other issues  18-20
4. Theoretical analysis and hypotheses  20-25
  4.1 Information content of semi-annual preliminary earnings estimate  20-21
  4.2 Effect of semi-annual preliminary earnings estimate on weakening stock price fluctuation round half year earnings announcement day  21
  4.3 Relationship between accuracy and timeliness of semi-annual preliminary earnings estimate and price fluctuation round half year earnings announcement day  21-22
  4.4 Factors that influence management’s choice of disclosing semi-annual preliminary earnings estimates  22-25
5. Research design  25-37
  5.1 Sample collection  25-26
  5.2 Criteria for dropping samples  26-27
  5.3 Calculation of key variables  27-30
    5.3.1 Unexpected earnings  27-28
    5.3.2 Cumulative abnormal return  28-29
    5.3.3 Abnormal return volatility  29-30
    5.3.4 Difference between preliminary earnings estimate and semi-annual financial statements  30
  5.4 Other variables  30-31
    5.4.1 Institutional holding  30
    5.4.2 Leverage  30
    5.4.3 Price to book ratio  30-31
    5.4.4 Company scale  31
    5.4.5 SME  31
    5.4.6 Year  31
  5.5 Methodologies and models  31-35
    5.5.1 Information content of semi-annual preliminary earnings estimate  31-32
    5.5.2 Effect of semi-annual preliminary earnings estimate on weakening stock price fluctuation round half year financial announcement day  32-33
    5.5.3 Relationship between accuracy and timeliness of semi-annual preliminary earnings estimate and price fluctuation round half year financial announcement day  33-34
    5.5.4 Factors that influence management’s choice of disclosing semi-annual preliminary earnings estimates  34-35
  5.6 Summary of variables  35-37
6. Empirical results and analysis  37-55
  6.1 Test for Hypothesis 1  37-42
    6.1.1 Descriptive data  37-41
    6.1.2 Regression result  41-42
  6.2 Test for Hypothesis 2  42-48
    6.2.1 Descriptive data  42-46
    6.2.2 Regression results  46-48
  6.3 Test for Hypothesis 3  48-51
    6.3.1 Descriptive data  48-49
    6.3.2 Regression result  49-51
  6.4 Test for Hypothesis 4  51-55
    6.4.1 Descriptive data  51-52
    6.4.2 Regression result  52-55
7. Robustness check  55-56
8. Discussion on policy implication and improvement  56-58
9. Conclusion of the paper  58-60
Bibliography  60-65
Acknowledgements  65-68
附件  68

我国中期业绩快报的多角度实证研究

内容摘要

全文目录

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