【摘要】 本文以2003年1季度至2022年4季度A股上市公司为样本，研究发现盈余反应系数存在显著的季节性差异，具体表现为1季度的盈余反应系数大幅高于其他季度，分别比2、3、4季度的盈余反应系数高77.27%,44.44%和85.71%,且这一季节性差异在绝大多数年度和绝大多数行业中稳定存在。本文从盈余信息含量、盈余信息在非盈余公告窗口的价格效应、盈余公告的信息含量和盈余信息的披露格式、同期事件、市场和宏观因素等不同视角对上述现象的成因进行了探索，我们发现盈余信息含量、盈余信息在盈余公告前的价格效应在非常有限的程度上解释了盈余反应系数的部分季节性差异，但已有线索还远不足以对此提供完备的解释。此外，也有较弱的证据显示3季度的盈余反应系数大于2、4季度。更多还原

【Abstract】 Using a sample of A-share listed companies from 2003Q1 to 2022Q4,we find a significant seasonality in ERC(earnings response coefficient).Specifically, the ERC of Q1 is 77.27%,44.44%,and 85.71%larger than that of Q2,Q3,and Q4,respectively.This seasonal difference exists for the majority of years in the sample period and holds for most industries.We explore this phenomenon from several different perspectives, including the information content of earnings, the price impact of earnings information during the non-earnings announcement windows, the information load of and year-to-date disclosure format of earnings announcement, other contemporaneous events, and potential market or macro factors.However, none of them is sufficient to provide a complete explanation.In addition, we also find weaker evidence that the ERC of Q3 is larger than that of Q2 and Q4.更多还原