上市公司关于自身业绩公告的信息作为引导投资者正确预期投资收益与风险的重要措施,其有效性取决于贯彻落实公开、公平与公正原则的实际程度。本文以2008半年度报告有业绩预告信息的上市公司为样本,采用事件分析法,从定量角度分析在相关信息披露事件窗口的股价异动状态,市场的累积超额回报率显示市场对选定事件存在明显的提前反映,市场信息披露的有效性不够好,市场存在信息提前泄露;进一步,我们采取主成分分析法来研究半年报中可能会引起股票价格的异常波动的其他因素,结果显示,除了公司半年报业绩公告等收益因子,公司本身的公告体系、公司规模,以及公司本身的股本结构等也会对CAAR产生贡献。 The effectiveness of a listed company’s information on its own performance announcement as an important measure to guide investors in correctly anticipating the return on investment and the risk depends on the actual extent of implementing the principle of openness, fairness and justice. In this paper, the semi-annual report 2008 semi-annual report with performance forecast information of listed companies as an example, the use of event analysis method, from a quantitative point of view in the relevant information disclosure events window changes in the state of the stock market, the cumulative excess return rate shows the market for the selected event obvious Further, we adopt the principal component analysis to study the semi-annual report may cause abnormal fluctuations in stock prices and other factors, the results show that, in addition to the company six months Earnings announcements and other earnings factors, the company’s own announcement system, the size of the company, as well as the company’s own equity structure will also contribute to CAAR.