作　　者： ; ;

机构地区： 上海对外经贸大学金融管理学院

出　　处： 《财经研究》 2014年第11期82-96,共15页

摘　　要： 文章利用股票日内交易数据构建订单流不平衡指标,考察了个人投资者在不同信息属性盈余公告上的注意力分配情况及对股票价格产生的影响。结果表明:(1)个人投资者倾向于关注好消息公告,公告期间股票交易量异常高,受有限注意力制约,其在公告期间表现出显著的净买入行为;(2)个人投资者的净买入行为引起股票价格在盈余公告期间大幅上涨,随着公告后投资者对上市公司的关注恢复到常态,股票价格发生反转,上述发现验证了价格压力假说;(3)个人投资者的净买入行为引起股价在公告日对盈余信息的反应更为强烈,但公告后价格漂移对盈余信息的敏感程度下降,说明投资者关注能够提高信息解读效率。 Based on intraday stock trading data,this paper constructs imbalance index of order flow,and studies individual investor attention allocation in earnings announcements with different information attributes and its effect on stock prices.It comes to the following conclusions:firstly,individual investors tend to pay attention to announcements with good news;during the announcement period,trading volume surges and individual investors have significantly net buying behavior owing to limited attention;secondly,net buying behavior of individual investors leads to sharp increase in stock prices during the earnings announcement period;after the announcement,individual investor attention to listed companies returns to normal and stock prices reverse,confirming the price pressure hypothesis;thirdly,net buying behavior of individual investors results in stronger response of stock prices to earnings information in the announcement date,and after the announcement,the sensitivity of price drift to earnings information reduces,showing the positive role of investor attention in the increase in information understanding efficiency.

关 键 词： 盈余公告 个人投资者 有限注意 股票价格

领　　域： [经济管理] [经济管理] [经济管理]