摘要
本文基于嘉实基金的盈利预测库,收集2003至2004年A股公司的分析师盈利预测,通过事件研究考察相关的股价影响。研究发现,市场在实际业绩发布前已经开始对“盈利意外”(earnings surprise)①有显著的反应;且对于负面“盈利意外”的反应出现得较晚,主要体现在业绩公告日当天;而正面“盈利意外”的市场反应则开始于业绩公告日前较长一段时期。
Based on Harvest Fund Database, we perform an event study on price impact of analyst earnings forecast for all the A-stock firms during 2003-2004. We find that market reacts significantly to earnings surprises and the reaction to negative ＂earnings surprise＂ occur late and mainly on the report disclosure date,while the reaction to positive ＂earnings surprise＂ begin much earlier.
出处
《审计研究》
CSSCI
北大核心
2007年第1期91-96,共6页
Auditing Research
关键词
分析师
盈利预测
盈利意外
股价影响
analyst, earnings forecast, earnings surprise, price impact
