中国证券高层PEAD现象实证研究

PEADA1PEADPEAD1999720037PEADPEAD—15PEADPEADPEADPEAD23PEAD42PEAD6PEADPEAD312PEAD33.13.23.33.444.1PEAD4.2PEAD4.3PEAD4.4PEAD4.5PEAD4.655.15.241.PEADPEADPost-earnings-announcement-drift10PEADQFIIPEADPEAD1995720037PEADPEADPEAD15PEADPEADPEAD015PEAD0PEAD15PEADPEADPEADPEAD23PEAD4PEAD6PEADPEADPEAD1PEAD2PEAD3PEAD4PEAD5PEAD66PEAD2.PEAD1968BallBrownPEADPEADBernardThomas1989PEADSystematicriskCAMP1990CognitiveprocessPEADBhushan1994PEADFama1998PEADBallBrownPEADPEADPEADBartovRadharkrishmanKrinsky2000PEADSophisticationBhattacharya2001PEAD7Gans2001ConservatismPEADDavid2002PEADFergusonMatolcy2003PEADPEADPEADPEADPEADBallBrown1968PositiveUnexpectedEarningsCARAccumulativeAbnormalReturnNegativeUnexpectedReturnsCARKinneyBurgestahlerMartin2002199211997121938343%-45%EarningsSurpriseCARAsymmetricCAR-0.0119CAR0.023FergusonMatolcy2003PEADSignificantPositivePEAD890PEADLiuStrongXu2003Inefficient519988200119981999133A-116%2002200193632002432420012002200120022002-5040-4040PEAD2001CAR20019CARCAR0CAR16PEAD3.3.119997120037A1999713.2A129090330ST30728208410199972003750%50%3.3PEADCARCAPMCAPM2002CAPMCARCAR11T090900231it31ln(/)itititRPP−=TitP1itP−iTi=12N2itR∧Naivemodel45itR∧3090iTitititARRR∧=−4090TAAR1nititARAARn==∑5090TCAR234Ball5121tttCARAAR=∑CAR6CAR000:0,ttHAARCAR==0()/tAARtAARtSAARn=211()(1ntitiSAARARAARn==−−∑)t()/tCARtAARtSCARn=211()(1ntitiSCARCARCARn==−−∑)tt=12nttn-1tAARCAR3.41ST23134.4.1PEAD1STPEADPEAD160PEAD540PEAD5+0.5%-0.5%353%90PEADPEAD15PEADPEAD23PEAD14-1.50%-1.00%-0.50%0.00%0.50%1.00%1.50%2.00%2.50%3.00%3.50%4.00%113253749617385CAR1PEADST2STPEADST6ST3-5PEAD1%-1%PEADPEADSTSTSTPEADPEADPEADST615-2.00%-1.00%0.00%1.00%2.00%3.00%4.00%113253749617385CAR2STPEAD4.2PEAD3PEAD6PEAD140PEAD140PEAD-2%-0600PEAD540PEAD5+0.5%-0.5%353%90PEAD16PEAD1PEADPEAD240PEAD02005PEAD40PEAD501%3PEADPEAD17-8.00%-6.00%-4.00%-2.00%0.00%2.00%4.00%113253749617385CARcarcarcarCARcarcar3PEAD4.3PEAD456PEAD73PEAD4.3.1PEAD4PEAD1%30PEAD30%90PEAD4%PEAD718-1.00%0.00%1.00%2.00%3.00%4.00%5.00%113253749617385CAR4PEAD4.3.2PEAD5PEADPEAD512090-2.5%PEAD6-3.00%-2.50%-2.00%-1.50%-1.00%-0.50%0.00%0.50%113253749617385CAR5PEAD194.3.3PEAD6PEADPEAD590-4%4%PEAD-5.00%-4.00%-3.00%-2.00%-1.00%0.00%1.00%2.00%113253749617385CAR6PEAD4.4PEADPEAD34.4.1PEAD7PEAD350.5%-1.5%PEAD5-1%0(40)90-3%20-3.50%-3.00%-2.50%-2.00%-1.50%-1.00%-0.50%0.00%0.50%1.00%113253749617385CAR7PEAD4.4.2PEAD8PEADPEADPEAD0-1.60%-1.40%-1.20%-1.00%-0.80%-0.60%-0.40%-0.20%0.00%0.20%0.40%113253749617385CAR8PEAD4.4.3PEAD219PEAD10PEADPEADPEADPEAD-1.50%-1.00%-0.50%0.00%0.50%1.00%1.50%2.00%2.50%3.00%3.50%113253749617385CAR9PEAD4.5PEAD4.5.1PEAD10PEADPEADPEAD00.5%PEAD90-4%22-4.50%-4.00%-3.50%-3.00%-2.50%-2.00%-1.50%-1.00%-0.50%0.00%0.50%1.00%113253749617385CAR10PEAD4.5.2PEAD11PEADPEADPEAD400PEADPEAD454%6%11PEAD234.5.3PEAD12PEADPEAD508%PEAD85-10%PEAD-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%2.00%4.00%6.00%8.00%10.00%113253749617385CAR12PEAD4.6PEAD24BallBrownPEAD131994-2000PEAD8PEADPEADPEAD140.850.910.971.031.091.15-11-9-7-5-3-1135CAR13BALLPEAD8Kinney25-5.00%0.00%5.00%10.00%15.00%20.00%25.00%02468104080120160200240280CAR14PEADPEAD0PEAD0PEAD1PEADPEADBallPEADPEADPEADPEAD5.265.115PEADPEADPEADPEAD23tPEAD45.21232745.31PEAD2PEAD28[1]RayBallandPhilipBrown,1968,AnEmpiricalEvaluationofAccountingNumbers,JournalofAccountingResearch,Autum,P159-177[2]Bernard,V.LandJ.KThomas,1989,PostEarningsAnnouncementDrift:DelayedPriceResponseorRiskPremium,JournalofAccountingResearch,27,p1-36[3]Bernard,V.LandJ.KThomas,1990,EvidencethatStockPricesDoNotFullyReflecttheImplicationsofCurrentEarningsforFutureEarnings,JournalofAccountingandEconomics,13,p305-340[4]Bhushan,R,1994,AnInformationalEfficiencyPerspectiveOnthePost-EarningsAnnouncementDrift,JournalofAccountingandEconomics,18,P45-65[5]Fama,1998,MarketEfficiency,Long-TermReturnsandBehavioralFinance,JournalofFinancialEconomics,49,p283-306[6]Bartove,E,S.Radhakrishnan.andI.Krinsky,2000,InvestorSophisticationandPatternsinStockReturnsAfterEarningsAnnouncementsTimelinessofEarnings,JournalofAccountingandEconomics,24,p3-37[7]Bhattacharya.N.2001,InvestorsTradeandTradingResponseandEarningsAnnouncement:Anempiricalinvestigation,TheAccountingReview76-2,p221-244[8]AndrewFerguson,ZoltanMatolcy,2003,DoesPEADReallyExist?,WorkingPaper,UniversityofTechnology,Sydney[9]AndrewFerguson,ZoltanMatolcy,2003,AuditQualityandEarningsAnnouncement,WorkingPaper,UniversityofTechnology,Sydney[10]Kinney,W.,D.BurgstahlerandR.Martin,2002,EarningsSurprise“Materiality”AsMeasuredByStockRreturns,JournalofAccountingResearch,49-5,p1297-1330[11]Weiminliu,NormanStrongandXinzhongXu,2003,PostEarningsAnnouncementDriftintheUK,JournalofEconomicLiterature,UK[12]GansNarayanamoorthy,2001,ImplicationsofConservatismforthePostEarnings-Announcement-Drift,Dissertation,UniversityofRochester,USA[13]David.H,James.N.M,Linda.A.M,andSiew.H.T,2002,DOIndividualInvestorsDrivePostEarningsAnnouncementDrift?Workingpaper,OhioStateUniversity,USA29[14]2002P3[15]A—1998.7[16]2002.9[17]2002P213[18]2002P267[19]2002P694301STCARtSig.tSig.tSig.1-0.4940.622-4.6400.0001.7560.11322.0430.042-8.3410.0001.