中國股市之盈餘動能分析

A Study on the Earnings Momentum in China's Stock Markets

本文探討中國股市之盈餘動能（earnings momentum）：在盈餘宣告後，具有好盈餘訊息之公司，其股價持續上漲；具有壞盈餘訊息之公司，其股價持續下跌。我們以2005至2013年期間中國所有上市公司為樣本進行實證，結果顯示：1、中國上海與深圳（簡稱滬、深）股市都存在盈餘動能，且依據滬、深股市之盈餘動能現象建構的零投資組合（zero-investmentportfolio），其年化報酬率分別達11％與13％，顯示滬、深股市的盈餘動能兼具統計及經濟上的顯著性。2、滬、深股市股價都有提前反應盈餘訊息之現象，隱含滬、深股市存在盈餘訊息提前走漏之現象或部份投資人具有預測盈餘之能力。3、相對於深圳股市，上海股市提前反應盈餘訊息的幅度較小，在盈餘宣告後對盈餘訊息的反應則較快。4、相對於A股，B股價格提前反應盈餘訊息的幅度較小，在盈餘宣告後對盈餘訊息的反應則較快。5、金融海嘯期間，滬、深股市的盈餘動能現象都異於一般時期。 This study examines the earnings momentum in China's two stock markets. Namely, after earnings are announced, the estimated cumulative abnormal returns continue to drift up for “good earnings news” firms and down for “bad earnings news” firms, which are listed in the Shanghai Stock Exchange or the Shenzhen Stock Exchange. Using the data of all listed firms in the two exchanges between 2005 and 2013, this study measures the earnings momentum and finds the following results. First, there exists the earnings momentum in both markets. The annualized rates of return on the zero-investment portfolios created based on the phenomena of earnings momentum for Shanghai and Shenzhen are 11% and 13%, respectively. This suggests that the earnings momentums in the two markets are both statistically and economically significant. Second, the stock prices in both markets respond early before the announcements. It may mean that there exist the information leakages or some investors can make good predictions for earnings news in both markets. Third, both the magnitudes of the early respondences and the earnings momentum are stronger in Shenzhen than in Shanghai. Fourth, both the magnitudes of the early respondences and the earnings momentum are stronger in the Ashare prices than in the B-share prices. Fifth, the pattern of the earnings momentum in both markets during the financial crisis is different from the other periods.