盈余公告后市场持续调整效应是美国等发达股票市场普遍存在的异象。文章应用国外规范的研究方法检验了我国股票市场在1999年度至2002中期发布的定期报告。研究结果表明我国作为一新兴的股票市场同样存在这种公告后市场持续调整效应,且调整的大小与公司规模负相关,但有趣的是文章发现我国股票市场持续调整的方向与基于盈余数据测度的非预期盈余方向相反,即投资者可以通过构建与美国股票市场完全反向的投资组合而获得显著的超常收益率,这也证明了我国股票市场尚未达到半强有效性。 The continued adjustment of the market after the earnings announcement is a common vision in developed stock markets such as the United States. The article examines the regular reports released by China’s stock market from 1999 to mid-2002 by using the research methods of foreign norms. The results show that our country as an emerging stock market also has the effect of continuing adjustment after the announcement and the size of the adjustment is negatively correlated with the size of the company. However, it is interesting that the article finds that the direction of the continuous adjustment of the stock market in our country and the measure based on the earnings data The opposite direction of unanticipated earnings, that is, investors can obtain a significant abnormal yield by constructing a completely reverse investment portfolio with the U.S. stock market, proves that the stock market in our country has not reached half-validity yet.