光華講壇——社會(huì)名流與企業(yè)家論壇第6599期
主題：Stale Earnings Information and Stock Price Reversals: Evidence from China (陳舊盈余信息和股票價(jià)格反轉(zhuǎn)：來(lái)自中國(guó)的證據(jù))
主講人：西安交通大學(xué)管理學(xué)院 李留闖
主持人：西南財(cái)經(jīng)大學(xué)會(huì)計(jì)學(xué)院 胡寧
時(shí)間：6月27日 15:00—16:30
地點(diǎn)：誠(chéng)正樓650室
主辦單位：新時(shí)代中國(guó)特色財(cái)務(wù)與會(huì)計(jì)理論創(chuàng)新與方法體系研究團(tuán)隊(duì) 數(shù)字經(jīng)濟(jì)重大基礎(chǔ)理論與實(shí)踐創(chuàng)新研究團(tuán)隊(duì) 會(huì)計(jì)學(xué)院 科研處
主講人簡(jiǎn)介：
李留闖，會(huì)計(jì)學(xué)教授，博士生導(dǎo)師，現(xiàn)任職于西安交通大學(xué)管理學(xué)院。其研究興趣主要集中我國(guó)資本市場(chǎng)制度安排的經(jīng)濟(jì)后果，包括會(huì)計(jì)制度、審計(jì)監(jiān)管等對(duì)上市公司信息披露、會(huì)計(jì)信息質(zhì)量、審計(jì)師行為的影響等，研究成果發(fā)表在The Accounting Review、Contemporary Accounting Research、Journal of Banking & Finance、Financial Management、Auditing: a Journal of Practice & Theory等。
內(nèi)容概要：
Investors struggle to distinguish the stale component of news. Tetlock (2011) constructs a stylized analytical model, illustrating that the stale information hypothesis has the potential to explain stock price reactions to earnings news. Exploring the Chinese market characterized by the dominant retail investors, we discover evidence consistent with the stale information hypothesis. At the next quarter’s earnings announcement, stock prices reverse to earnings announced at the current quarter. The magnitude of stock price reversals is associated with the extent to which underlying earnings news is stale. Moreover, when there are more retail investors trading at the current earnings announcement, stock prices reverse more significantly. Our results are robust to various research designs, and we rule out several alternative explanations, including investors’ divergent opinions, high attention during annual earnings announcements, and measurement errors in earning signals.
投資者很難區(qū)分新聞中陳舊的成分。Tetlock（2011）構(gòu)建了一個(gè)程式化的分析模型，說(shuō)明陳舊信息假說(shuō)有可能解釋股價(jià)對(duì)盈利消息的反應(yīng)。在以散戶(hù)為主的中國(guó)市場(chǎng)中，我們發(fā)現(xiàn)了與陳舊信息假說(shuō)相一致的證據(jù)。在下一季度的盈利公告中，股價(jià)與本季度公布的盈利相反。股價(jià)反轉(zhuǎn)的幅度與基本盈利消息過(guò)時(shí)的程度有關(guān)。此外，當(dāng)有更多的散戶(hù)投資者在當(dāng)前的盈利公告中進(jìn)行交易時(shí)，股價(jià)會(huì)發(fā)生更大的逆轉(zhuǎn)。我們的研究結(jié)果對(duì)各種研究設(shè)計(jì)都是穩(wěn)健的，我們排除了幾種替代解釋?zhuān)ㄍ顿Y者的不同意見(jiàn)、年度盈利公告期間的高度關(guān)注以及盈利信號(hào)中的測(cè)量誤差。
