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中国管理科学

中国管理科学

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投资者异质信念与上市公司盈余信息的甄别——基于A-H股分割市场的实证分析

陆静   

  1. 重庆大学经济与工商管理学院, 重庆 400030
  • 收稿日期:2010-07-27 修回日期:2010-12-27 出版日期:2011-10-30 发布日期:2011-10-30
  • 作者简介:陆静(1966- ),男(汉族),四川乐山人,重庆大学经济与工商管理学院金融系副主任、副教授,博士,美国加州大学圣地亚哥分校访问学者,研究方向:实证会计、资本市场微观结构与资产定价
  • 基金资助:
    国家社会科学基金资助项目(09BJL024);中国博士后基金资助项目(20070410209)

Heterogeneous Beliefs of Investors and Recognition of Earnings Information of Listed Companies： Evidences from A-share and H-share Segmented Markets

LU Jing   

  1. School of Econmomics and Business Administration, Chongqing University, Chongqing 400030, China
  • Received:2010-07-27 Revised:2010-12-27 Online:2011-10-30 Published:2011-10-30

PDF (PC)

1940

被引次数

33

摘要： 本文采用2002-2006年A-H股市场季度盈余信息披露前后股票超额收益的面板数据分析,研究了投资者异质信念对股票定价的影响。研究认为:中国大陆会计准则执行的结果与国际会计准则执行的结果没有明显差异;A股、H股投资者能够正确识别各自交易所披露的盈余信息;A股市场存在明显的盈余公告前私人信息,并且这种信息对股票定价的作用一直持续到盈余公告后,国外投资者的信息获得劣势仍然比较明显;以机构投资者为主体的H股市场在信息处理能力上高于以个人投资者为主体的A股市场;投资者的异质信念显著影响股票定价;交易机制是导致分割市场间股票定价差异化的原因之一。

关键词: 资本市场分割, 异质信念, 盈余公告, 股票收益

Abstract: By analyzing the panel data of abnormal returns during quarterly announced earning information from 2002 to 2006 between A-share market and H-share market,we study the influences of heterogeneous beliefs on the stock pricing.This research points out that the results based on PRC-GAAP are not different from those based on IASs.All investors,no matter they are from the A-share market or H-share market,can correctly read the earning information announced by stock exchanges respectively,there is much obvious private information in A-share market than in H-share market and this asymmetry information will persist until post announcement,the investors from H-share market have superior information processing abilities than those from A-share market,heterogeneous beliefs playing a role in stock pring and trading system is one of the reasons why result in the different stock price performances in segmented capital markets.

Key words: segmented capital markets, heterogeneous beliefs, earning announcements, stock returns

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