【摘要】 以上市公司业绩预告或盈余公告日的数据计算隐含相关收益率并构造投资组合,研究已公告公司的盈余信息对行业内未公告公司股票价格的影响,可以发现市场在信息传递过程中存在反应不足并产生"异象",这一"异象"可认为是盈余公告前的价格漂移。更多还原

【Abstract】 By studying on the response of stock price of nonannounceing firms to quarterly earnings information from announced firm in the same industry,selecting the pre-announcement of expected performance or earnings announcement of listing corporation as the samples,based on the drift effects on post-announcement of earning in the control according to the calculated correlation implied returns and constructed investment portfolio,we can find that market appears to underreact and the abnormal phenomenon to the transfer of earning news.It is proved that there exist the pre-earning announcement drift.更多还原