Short-sales Constraints,Convergence of Opinions and Price Effect of Information Disclosure:Evidence from A-share Stock Market in China
从投资者意见分歧角度分析年报公告的价格效应，发现公告日附近意见分歧与异常收益负相关，表明卖空限制下意见收敛使高估股票回归基本面，且信息泄露和机构持股、行业集中度会增强该效应。
This paper empirically analyzes the price effects of annual earnings announcements from the perspective of investors' opinion divergence so as to provide not only empirical evidence to opinion divergence theoretical models but also a new way to the research of the price effects of information disclosure in A-share stock market. It is evidenced that investors' opinion divergence is negative correlated with the abnormal return around announcement dates,which indicates that investors' opinions converge at the disclosure of annual earnings announcements leading to overpriced stocks as a result of short sale constraints and opinion divergence to approach their fundamental values.It is also found that the price effects of converging opinions manifest themselves a few days before the formal announcement dates,which indicates that information leakage exists during disclosure processes of annual earnings announcements in A-share stock market.What's more,the negative correlations between investors' opinion divergence and price effects around announcements dates get more obvious with increasing institutional ownership and industrial concentration.