论文部分内容阅读
近四十年来,无论是较早前的数据还是最近的数据,在众多国家的股票市场都存在着显著的盈余公告后价格漂移异象,这一异象在有力地挑战“有效市场”范式。本文在“有限套利”的统一框架下,分别从投资者非完全理性、交易成本以及套利风险等角度对目前已有的文献进行总结,在此基础上指出目前研究的局限。本文同时介绍我国学者对盈余公告后价格漂移异象的具体研究,并指出未来可能的研究方向。
In the past four decades, both the earlier and the most recent data have shown a significant price drift after the earnings announcement in the stock markets of many countries. This vision strongly challenged the “effective market” Paradigm. Under the unified framework of “limited arbitrage”, this article summarizes the existing literature from the angles of investor’s imperfect rationality, transaction cost and arbitrage risk, and then points out the limitations of current research. In the meantime, this article also introduces the concrete study of the price drift of our scholars after the announcement of the earnings announcement and points out the possible research directions in the future.