关键词:

对业绩信息的反应, MAX效应, 相对价格, 股指波动率, 股指收益率

Abstract:

The data of China’s A-share market from the first quarter of 2004 to the second quarter of 2020 are selected as the research sample to explore how stock market investors’ responses to earnings information would be affected by the MAX effect using the event study method. The empirical results clarify that responses of investors to earnings information are affected by the MAX effect in two opposite directions simultaneously. Due to the MAX effect, investors will respond quickly to positive unexpected earnings information, but will be sluggish to negative unexpected earnings information in the meantime. Furthermore, heterogeneity analysis by focusing on the price dimension reveals that the MAX effect affects stock market investors’ responses to earnings information more significantly when individual stocks are at relatively low prices and when the stock index, which reflects the overall price level of the stock market, is less volatile or rising in the recent period.

Key words:

responses to earnings information, MAX effect, relative price, stock index volatility; stock index returns