摘要
以某证券营业部622 425条个人投资者交易记录数据为基础,分析盈余公告日后个人投资者的实际交易行为与未预期盈余的关系,检验个人投资者与PEAD的关系,探讨个人投资者是否是驱动盈余公告后漂移的原因。研究发现,无论未预期盈余为正或为负,个人投资者均没有表现出显著的买入或者卖出行为,且个人投资者的行为也无助于市场收益的预测,拒绝了个人交易假说。因此,个人投资者的交易行为并不是盈余公告后漂移的原因。
Based on 622 425 trading records in a retail broker, the paper studies the relationship between individual investors＇ actual trading behaviors and post earnings announcement drift （PEAD） , tests the relationship between the individual investor and PEAD, and analyzes whether individual investors＇ trading behaviors are reasons for PEAD. Results show that individual investors do not have significant purchasing or selling behavior whether unexpected earnings are positive or not, individual investors＇ behaviors contribute nothing to predicting the market return, and hence the individual trading hypothesis is rejected. As a conclusion, individual investors＇ trading behaviors are not reasons for PEAD.
出处
《上海立信会计学院学报》
北大核心
2012年第5期59-68,共10页
Journal of Shanghai Lixin University of Commerce
基金
教育部人文社科研究基金青年项目(11YJC790288)
河南省软科学研究项目(122400430036)
河南省政府决策研究招标课题(2012B037)
河南财经政法大学会计学博士点建设学术团队资助项目
关键词
个人投资者
盈余公告后的漂移
累计非正常报酬率
未预期盈余
individual investors
post earnings announcement drift （PEAD）
cumulative abnormal returns
unexpected earnings
