摘要
文章采用事件研究和面板数据研究了中国A股、H股分割市场上盈余信息不确定性对盈余公告后漂移的影响。研究表明,境内外财务报告的主要数据不存在显著差异,也就是说,中国会计准则与国际会计准则执行的结果是基本一致的;而A股、H股市场的非财务因素差距较大。研究发现,在分割市场的盈余公告后漂移中,信息不确定性起到了十分重要的作用,无论两个市场上参与人的类型如何,信息不确定性都能加剧投资者认知偏差并有效地影响PEAD。
By means of Event Study and Panel Data Regression, we discuss the influence of uncertainty of information on the Post-Earnings Announcement Drift. We find that there are not significant differences between the H-share financial statements and the A-share fi- nancial statements, which mean the performances of PRC-GAAP and HK-GAAP are the same basically. On the other hand, the non-financial factors such as annually trading amount, average prices of stocks and average held shares of shareholders are different statistically. The most important result of the research is that the Information Uncertainty play a crucial role in the PEAD of segmented markets. No matter what types of traders in the segmented markets, the Information Uncertainty can efficiently influence PEAD.
出处
《华东经济管理》
CSSCI
2011年第5期103-109,共7页
East China Economic Management
基金
中国博士后基金(20070410209)
重庆市自然科学基金(2009BB2042)
关键词
资本市场分割
信息不确定性
盈余公告后漂移
segmented capital markets
information uncertainty
post-earnings announcement drift
