【作者】 吴文锋； 胡戈游； 吴冲锋； 芮萌；

【Author】 WU Wen-feng~1 HU Ge-you~1 WU Chong-feng~1 RUI Meng~2 (1.Management School,Shanghai Jiaotong University,Shanghai 200052,China;2.Faculty of Business and Administration,Chinese University of Hong Kong,Hong Kong,China)

【机构】 上海交通大学管理学院； 香港中文大学商学院；

【摘要】 B股向境内居民开放引起了投资者结构的变化,它不仅影响市场流动性,股价波动率等微观行为,也影响投资者对于公司信息的判断与反应。本文研究了B 股市场开放后的盈余公告效应,结论发现开放前后B 股市场的盈余公告效应存在显著差异,投资者结构的变化确实影响了投资者的盈余公告效应。但B 股市场的盈余公告效应仍然没有趋同于A 股市场。更多还原

【Abstract】 B share’s opening to domestic investors changes investors’structure of B share market.It has not only influ-enced market liquidity,volatility and other market micro-structures,but also changed the investors’judgments and at-titude to information.This paper conducts an event study on the annual earnings announcements effect of B share mar-ket.Our results show that there is significant difference of earnings announcements effects before and after B share’s o-pening.We also find that the earnings announcements effects of B share are still different from those of A shares.更多还原