【作者】 曹纯娟；

【导师】 王春峰；

【作者基本信息】 天津大学 ， 管理科学与工程， 2004， 硕士

【摘要】 财务报告的目的是向信息使用者提供与决策相关的信息,年度报告作为市场中非常重要的信息来源,其披露的盈余信息应是投资者最关注的信息。上市公司对外披露的财务会计信息是否为投资者等信息使用者的投资决策所用,一直是金融实证研究领域的核心问题之一。本文主要采用事件研究的方法,通过考察年度盈余报告披露前后的价格和交易量的变化来检验年度盈余报告的信息含量以及盈余报告在我国证券市场的有用性,进而针对我国证券市场的现实状态提出政策建议,促进我国证券市场朝公开、公平、公正、理性化和富有效率的方向前进。本文的研究结论有以下几点:(1)年度盈余报告的信息类型与盈余报告披露的及时性存在显著的负相关,盈余好的公司倾向于较早地公布其年报,反之则推迟公布年报。(2)在上海A股市场,未预期会计盈余与股票非正常报酬率之间存在统计意义的显著相关,这表明会计盈余数据的披露具有信息含量。通过对蓝筹股和非蓝筹股年报盈余信息公布前后的市场反应进行比较分析,我们发现无论是“好消息”还是“坏消息”,在会计盈余公布当天投资者对于非蓝筹股的反应要比蓝筹股要强烈。(3)当公司宣布年度报告时股票交易量会有显著增加。对年报公布的交易量反应前后持续将近两个星期,存在明显的预示效应和公告后效应。此外,非预期盈余越大,引起的超常交易量越大而且越持久;公司规模越小,引起的超常交易量越大而且越持久。更多还原

【Abstract】 The purpose of the financial report is to offer the information correlated withdecisions to information users. The annual reports are the most important informationsource, which earnings information is the most interested information for the investors.Whether the financial accounting information is useful for information users to makedecision, which has always been one of the key issues of the finance research field.This dissertation has examined information content of annual reports and its usage tothe Security market through investigating change of price and trading volume aroundannual earning announcements, and then given the policy suggestions according to thereality of the security market of our country. The aim is to promote the securitymarket to become more open、rational、efficient.Empirical results show(:1)there is significant relation between information typesof annual reports and its reported date, the company with good earnings inclines toannounce its report earlier, on the contrary the company with bad earnings postponesannouncing its report. From the result we can find annual earnings reported dateaffects the earnings quality, the more quickly earnings discloses, the greater marketresponses.(2)In Shang Hai A-share market, we find that there is significant relationbetween unexpected earnings and abnormal returns. It shows there is significantinformation content in the earnings information. And the empirical study proves thatour stock market is not semi-strong efficient because investors can gain abnormalreturns by designing portfolio. Besides, we also discover investors’ reaction toNon-Blue Chip stocks more strongly than Blue Chip stocks regardless of good newsor bad news.(3)The trading volume will increase notably when the companyannounces the annual report. The reaction that lasts nearly two weeks shows existobvious indication effect and post-announcement effect. In addition, the larger theunexpected earning is, the larger and the more continual abnormal trade volume is;and the company is smaller in scale,the result is the same.更多还原