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20095121··【】36。FFJR1969。。。【】【】F83【】A、200569982007106100。61002008101600。、。、。。。。。。、。。、EfficientMarketHypothesis,EMH。。BallBrown1968FamaFisherJensenRollFFJR1969。。Fama1965。Fama【】65022170--··20095121StableParetiandistributionFama1965。Fama1970“”、、、。1969FamaFisherJensen,Roll(FFJR)FFJR。Fama19692930。“”。Famaanomalies。Fama1998IPO、、、。。。2090、、、。1994199012191994428。1996。、。。199519951991199219921995。、。。、、。。199919941995GNP。1996。。、。“”、“”。199919911997。2001a。。QDII。200871--20095121··18。、。A1584。、、、Fama1991。。、()、、、。、。。52%2007CambellLettau,1999。5。1515。β。。、CCER30036。3636。。。。。72--··20095121ββ。2、。。。ARit(est.period)=rp＾it-p～rit2136Aα0.0103790.0053940.00804-0.004030.001918-0.00135β-0.02553-0.30601-0.362111.2521180.213651.142033α-0.002390.0034390.0036150.00290.0040.00241β0.7703540.3009460.5973170.1407440.1594790.361318α0.005791-0.00245-0.00075-0.004740.0046089.71E-05β-0.036310.7797860.997651.358382-0.079680.898413α-0.004140.0037260.0031080.0033940.005643-0.00037β1.3275260.600861.231685-0.08666-0.196360.807332α0.0010420.0017320.009630.0018580.001253.21E-05β0.086633-0.070960.1363841.1808130.214870.317043α0.0003350.006020.0056850.000291-0.00521-0.00083β0.9031420.184610.935482-0.041751.4086341.062726autocorrelation(partialcorrelation)Fama1965。300300。Sharpe(1963)1234。,。。。1、CAPM,36300。rpit=α+βriit+εii=1,…36t=-115…-161rpitriit300εi。i36t-15+15100。173--20095121··-15-14-13-12-11-10-9-8-7-6Z-1.15-1.0-0.62.68***-0.6-0.47-0.6-1.03-0.32-0.84P0.250.310.540.00740.540.640.540.300.750.40-5-4-3-2-101234Z-0.3-1.22-2.6***-1.1-1.0-1.70*-0.2-1.82*-0.80.027P0.790.220.010.290.310.08950.870.0680.440.98567891011121314Z-1.57-0.12-0.96-1.97**0.14-0.20.10-0.72-0.8-1.34P0.120.910.340.0490.890.880.920.470.440.18rp＾ititp～ritit。ARit(est.,period)。ARm(event,window)=Rmt(event,window)-Rm(event,window))23-16t=-115Σ(Rmt(est.period))-Rm(est.period))24。SARit2=-16t=-115ΣARit(est.period)-A—R—m(est.period)2Di-2ΣΣΣΣΣΣΣΣΣΣΣΣΣΣΣΣΣΣ×1+1Di+Rmt(event,window)-R—m(est.period)2-16t=-115ΣRmt(est.period)-R—m(est.period)2ΣΣΣΣΣΣΣΣΣΣΣΣΣΣΣΣΣΣΣΣ5SARit2tiARA—R—m(est.period)iARDiiRmt(event.window)t300Rmt(est.period)tRm(est.period)。5。3、AR。ARit(event,window)=Rit(event,window)-αi(est.period)-βi(est.period)×Rmt(event,window)6ARit(event,window)iARRit(event.window)iαi(est.period)iβi(est.period)。6。SARit=ARitSARit2姨7AR。SARSARTSAR。TSAR2006Z-Z-statistic=TSARtni=1ΣDi-2Di-4姨8Z-statisticZ-TSARtTSARDiiN。Z-01.0。22Z-p*90%**95%***99%-12-3028-12-399%290%895%574--··20095121-15-14-13-12-11-10-9-8Z-1.12-1.52-1.490.066-0.27-0.46-0.63-0.96-7-6-5-4-3-2-10Z-0.98-1.13-1.17-1.44-2.01*-2.24*-2.45**-2.83**12345678Z-2.83-3.15-3.23-3.17-3.44-3.40-3.52-3.819101112131415Z-3.67-3.64-3.59-3.64-3.72-3.92-3.94。。4、CumulativeTSART1,T2=T2t=T1ΣTSARt9CumulativeTSART1,T2T1-15T2-1515。Z-Zt=1N姨姨姨T2T1ΣSARitT2-T1+1Di-2Di-4姨姨姨姨姨姨姨姨姨姨姨姨姨姨姨姨姨姨姨姨姨姨姨姨姨姨姨姨姨10N36SARitiSARDii。3Z-。3Z-*95%**99%099%。395%99%100%。、300362006。12-150。AR。-15-10-10-5。。175--20095121··。“”。。。。“”“”。“”。1“”。2。3。4、、。【】1Eugene.F.Fama,LawrenceFisher,MichaelC.JensenandRichardRoll.TheAdjustmentofStockPricestoNewInformation[J],InternationalEconomicReview,1969.10:1-212RayBallandPhilipBrown,AnEmpiricalEvaluationofAccountingIncomeNumbers[J],JournalofAccountingResearch.1968:159~1783Eugene.F.Fama,TheBehaviorofStock-MarketPrices[J],TheJournalofBusiness,1965.38:34-105.4WilliamF.Sharpe.ASimplifiedModelforPortfolioAnalysis[J],ManagementScience.1963:277-2935Eugene.F.Fama,EfficientCapitalMarkets:AReviewofTheoryandEmpiricalWork[J],TheJournalofFinance.1970.25:383-4176Eugene.F.Fama,Marketefficiency,Long-termReturns,andBehavioralFinance[J],JournalofFinancialEconomics.1998.49:283-3067.、[J]..1994.9:43~508.[J]..1996.4:13~199,.[J]..1995.4:107~11310,.[J]..1999.3:32~3611,.[J]..2001.8:30~3212EugeneF.Fama,EfficientCapitalMarkets:[J].TheJournalofFinance.1991.46:1575-161713,.[J]..2007.3:125~13914Campbell,JohnY.andMartinLettau,DispersionandVolatilityinStockReturns:AnEmpiricalInvestigation[J].NBERworkingpaper.1999:714415,.[J]..2006.10:31~3516,,.[J]..2006.6:33~4017,,.[J]..1997.9:13~1718.[J].,1998.1:28~3419.-Eviews[M].:.2007:3~535276--··2009512120.[J]..1999.3:53~5821.-[M].:22Markowitz,H.M.,PortfolioSelection.[J]JournalofFinance,1952.7:77-9123WernerF.M.DeBondt,andRichardThaler,DoSecurityAnalystsOverreact?[J],AmericanEconomicReview,1990.80:52-5724,.[J].,2001.3:34~4025,.[J].,2007.2:7~1226.[J].,1998.10:3~10ThePublicationofQuarterlyFinancialStatementofListedCompanyonStock'sReturnWungYongZhouwenYunNanUniversityofFinanceandEconomics,KunMing650221,China【Abstract】Thispapermakesresearchintostockreturnsof36listedcompaniesonShanghaiandShenzhensecurityexchangemarketbeforeorafterthepublicationoffinancialstatement.BasedonFFJR'seventstudyin1969,wefindtheresultsare:thereexistsobvioustendencyonthedailycumulativeabnormalreturn,theinvestorcanobtainnotableabnormalreturns.Thisreflectsthatournationalcapitalmarketcannotreachthesemi-strongefficiency.Intheend,thispaperpointsoutthatonecountryshouldstrengthentheindependentofstockmarketandthiscanstrengthentheindicativeeffectonmacroeconomiccy-cle.【Keywords】MarketEfficiency;EventStudy;AbnormalReturn77