金融行业上市公司业绩预报的市场反应探究.docVIP

中南财经政法大学2014届本科生学年论文（设计） 本科生学年论文（设计） 论文题目 ： 金融行业上市公司业绩预报的市场反应探究 姓名 ： 学号 ： 班级 ： 年级 ： 专业 ： 学院 ： 指导教师 ： 完成时间 ： 金融行业上市公司业绩预报的市场反应探究 ——基于A股市场的实证研究 摘 要 本文运用 2013 年金融行业上市公司的财务报告及市场数据，按季度对公告不同类型业绩预告进行了分析，重点探究增长型业绩预告前后股价发生的变化，以及影响这些变化的因素，并对其进行实证分析。总体来说，金融行业预升型业绩预告的公司比例和强度要明显高于预增型业绩预告，在业绩预告前后其相关个股的股价反映也更剧烈。按照事件研究法研究单季业绩预增前后的平均累计异常收益率，发现年度业绩预增个股在信息披露后的短期股价表现最为出色。采用类似BARRA 模型的方法，构建以平均异常收益率为解释变量的多元回归方程进而发现，这些个股在信息披露后的超额收益与业绩预增的相对幅度成正比，并且与是否属于银行业上司公司具有相关性，而公司规模则相对而言不具有显著的影响效果。 ?关键词：季度；业绩预告；事件研究法；异常收益率，Barra 模型 Abstract Utilizing the market and financial data of listed financial companies in 2013, this paper studied the distributions and characteristics of the financial companies that issued increas earnings preannouncement(IEP)by season. At the same time, it examined the abnormal return of these companies before and after the earnings preannouncement date, doing empirical researches on the candidate factors which might have the impacts on the returns . In general, the financial companies issued increase earnings preanouncement(IEP) turn out to be more than which issued great increase earnings preanouncement(GIEP) both in Shanghai Stock Exchange(SHSE) and Shenzhen Stock Exchange(SZSE). Also the price movement is more active for IEP before and after the earnings preannouncement date. By event analysis on quarterly average cumulative abnormal return, the paper revealed that anuual reports record the most value in short-term abnormal return after IEP.Making use of the multivariable regression analysis like Barra model, this paper constructed an empirical test on average cumulative abnormal return, which showed that the abnormal return after IEP is positively related to growth of performance and whether it belongs to banking,while the company scale shows less relevant to it. Keywords：Quarterly, increase earnings preannouncement,event analysis, abnormal return, barra model ? 目 录 TOC \o 1-3 \h \u 6709 导 论 - 1 - 一、理论介绍及研究方法 23332 （一）相关理论介绍 - 3 - 1994 （二） 研究方法 - 3 - 2