【作者】 张萍；

【导师】 林树；

【作者基本信息】 南京大学 ， 会计学， 2017， 硕士

【副题名】基于基金持股数据的实证研究

【摘要】 作为金融文献中的一个最令人费解和长期存在的市场异象,盈余公告后漂移异象被证明经受住了时间的考验。我国学者的研究大都也支持存在漂移异象。盈余公告后漂移异象的发现对有效市场假说理论形成一定冲击。国内外众多文献都已验证了这种异象的持续性并且运用此异象进行套利能够获得一定额外收益,那么市场中是否有投资者利用PEAD异象进行投资交易是个值得关注的问题。我国的基金业自成立以来可谓是有着日新月异的发展,证券投资基金已成为资本市场上非常重要的一支力量,基金公司提供的投资品种各式各样,居民在进行资产配置时会越来越多的考虑基金投资。并且基金公司作为机构投资者的重要成员,通常被认为是理性的、富有效率的精明投资者,了解基金公司的行为及对资本市场的效率的贡献或者影响有重要意义。而在美国等成熟的资本市场中,以基金公司为代表的等机构投资者较多地运用市场异象构建策略进行投资交易。目前国内基金市场的逐渐增大,管理资产规模日益增加,量化投资技术逐渐得到运用,都为我们研究基金公司运用PEAD现象进行创造了条件。国内现存的研究成果中,关于基金公司利用盈余公告后漂移异象进行投资交易,并考察这种投资行为对基金业绩及资本市场价格反映影响的研究尚未发现。本文以我国上市公司2006年-2015年的每股收益数据及基金公司持股明细的季度数据为基础,初次对我国基金公司运用PEAD异象及由此策略运用带来的收益、对资本市场价格反应的影响进行了探究。本文主要使用Wind资讯金融终端数据库及国泰安数据库的数据进行分析研究。主要研究结果如下:首先,本文发现基金公司的确在利用公告后漂移异象进行投资交易。基金公司的季度持股比例变动与标准化未预期盈余(SUE)有显著关系。此外,我们从基金季度持仓明细着手,发现基金公司利用漂移异象能获得显著的短期累计超额收益。最后,本文的研究还发现,基金公司利用漂移异象的投资行为影响了市场股价反应,加快了股票反映当前盈余信息的速度。本文将PEAD异象与基金投资行为综合考虑,扩大了 PEAD异象的研究范围,也丰富了基金投资行为及其业绩的研究。从基金公司投资持股方面对基金利用PEAD异象的情况及其业绩进行研究,进而考察基金公司的这种投资行为能否对市场产生影响,不仅促使我们提高对PEAD这一市场异象的认识,而且有利于我们体会市场的价格反应过程。最后,本文的研究为基金公司及个人投资者制定投资策略提供了一些启发。更多还原

【Abstract】 As one of the most puzzling anomalies in the finance literature,the post earnings announcement drift has been lasted for a long time.Many scholars have proved that this anomaly also exists on the Chinese market.Undoubtedly,the discovery of the PEAD anomaly represents the most serious challenge to the Efficient Market Hypothesis(EMIH).Many domestic and foreign literatures have verified that the PEAD anomaly is sustainable and trading on it if profitable,so whether the investors exploiting this anomaly to trade is nota’ble.China’s fund industry has been booming since its establishment,and fund company has become an important member of the institutional investors.There are more and more fund products,and our residents has increasingly allocated more assets to this type of investment.Fund company is usually considered as a rational and efficient investor,understanding the behavior of fund company and the impact on the capital market efficiency is of important significance.Mutual funds in the developed market generally exploit the anomaly strategy to invest.The rapidly development of our fund market,and the increasing using of the quantitative investment technology gradually make it possible for us to study whether the fund company take advantage of the anomaly to invest.In the existing domestic research literature,we have not seen the study of the above-mentioned topic.Based on the earnings per share data of Chinese listed companies in 2006-2015,and fund company’s quarterly holdings data,for the first time,we examine whether the Chinese hand companies use PEAD anomaly to invest and the impact of the behavior on the capital market Our data is mainly from the Wind financial terminal information database and the CSMAR database.And the main findings of this article is as follows.First of all,we found that fund companies are indeed exploiting the anomaly to invest.The quarterly changes in fund ownership is positively related to the standard unexpected earnings.In addition,using the data of the fund quarterly holdings,we found that fund companies using the drift can get significant short-term cumulative excess return.Finally,we also found that the drift exploiting behavior of fund company speeds up the response of the stock price to current earnings information.This paper takes the PEAD anomaly and fund investment behavior into consideration together,expanding the research scope of PEAD anomaly,and it also enriches the research of fund investment behavior and its performance.Besides,we study whether the fund company use the anomaly to invest and the probable profitability of the strategy from the aspects of fund holdings,and then examine whether such behavior will in turn influence the market,making us increase the understanding of PEAD and the market price response process.Finally,this paper would provide some enlightenment for fund companies and individual investors to make investment strategies.更多还原