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中文摘要：
本文从盈余公告对投资者意见分歧影响的角度，解释A股市场年报公告期间的股价反应，在为意见分歧资产定价理论提供经验证据的同时，也为A股市场信息披露股价效应的研究提供一个全新的思路。研究发现，公告前投资者意见分歧程度与股票在公告日附近的超额收益负相关，证明上市公司年报会降低投资者的意见分歧，导致公告前因卖空限制和意见分歧而被高估的股价在公告日附近向其基础价值靠拢。此外，本文还发现上述股价反应在正式公告日前的几个交易日就已出现，证明A股市场存在年报信息提前泄露的情况。进一步研究显示，意见分歧与公告日附近股票超额收益的负相关关系随着机构持股比例和行业集中度的提高而逐渐增强。
英文摘要：
This paper empirically analyzes the price effects of annual earnings announcements from the perspec- tive of investors＇ opinion divergence so as to provide not only empirical evidence to opinion divergence theoreti- cal models but also a new way to the research of the price effects of information disclosure in A-share stock mar- ket. It is evidenced that investors＇ opinion divergence is negative correlated with the abnormal return around an- nouncement dates, which indicates that investors＇ opinions converge at the disclosure of annual earnings an- nouncements 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 in- creasing institutional ownership and industrial concentration.
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