中国股票市场盈余公告前价格漂移研究

以上市公司业绩预告或盈余公告日的数据计算隐含相关收益率并构造投资组合,研究已公告公司的盈余信息对行业内未公告公司股票价格的影响,可以发现市场在信息传递过程中存在反应不足并产生＂异象＂,这一＂异象＂可认为是盈余公告前的价格漂移。     

我国股票市场盈余公告信息传递效应研究

本文以上市公司业绩预告或正式盈余公告披露目的数据为样本,通过计算隐含相关收益率并构造投资组合,系统地研究了公司的盈余公告信息对行业内其他公司以及其他行业相关公司的影响,发现盈余信息在行业内及行业间存在传递性。同时,在控制盈余动量效应和盈余公告后价格漂移效应的基础上．发现市场在信息传递过程中存在反应不足。可以认为,这种反应不足是中国股市长期存在但并未被证实的市场“异象”。交易成本能在一定程度上对此做出解释。     

中国A股市场的早公告溢价：现象与机制

探究成熟股票市场的股票收益异象在A股市场的适用性,对于理解A股市场的有效性和股价运行特点具有重要的理论和实践价值。本文利用2004—2020年的季度盈余公告样本研究盈余公告溢价现象在A股市场的表现形式及其机制。结果表明,A股市场存在以盈余公告时机为条件的“早公告溢价”现象,即预计早发布盈余公告的公司,其股票在预计披露公告的时间段存在显著为正的超额收益,而晚公告公司不存在这种溢价。机制分析发现,“好消息早”和投资者对此反应不足无法解释这一现象,市场围绕盈余公告的理性学习行为导致早公告的信息不确定性显著高于晚公告,进而投资者要求正的溢价补偿是该现象的潜在原因。本研究不仅扩宽了盈余公告的研究视角,也对审视资本市场其他周期性重复事件对股票收益的影响具有一定参考意义。     

意见分歧、流动性与盈余公告飘移——基于A股市场上市公司年报的经验证据

以1997—2008年上市公司披露的年报为研究对象,对年报披露引起的投资者意见分歧与公告后股价飘移的关系进行研究,发现投资者意见分歧与公告后股价飘移呈负相关关系,负相关程度随持有期的延长而逐渐增强。盈余信息内容不会对意见分歧与公告后股价飘移的关系产生影响,两者之间的负相关关系在好消息和坏消息组中都存在。进一步的研究显示,流动性水平会对意见分歧与盈余公告后的股价漂移的关系产生影响,随着股票流动性程度的降低,意见分歧对盈余公告后的股价漂移的影响更加明显。     

盈余信息、个人投资者关注与股票价格

文章利用股票日内交易数据构建订单流不平衡指标,考察了个人投资者在不同信息属性盈余公告上的注意力分配情况及对股票价格产生的影响。结果表明:(1)个人投资者倾向于关注好消息公告,公告期间股票交易量异常高,受有限注意力制约,其在公告期间表现出显著的净买入行为;(2)个人投资者的净买入行为引起股票价格在盈余公告期间大幅上涨,随着公告后投资者对上市公司的关注恢复到常态,股票价格发生反转,上述发现验证了价格压力假说;(3)个人投资者的净买入行为引起股价在公告日对盈余信息的反应更为强烈,但公告后价格漂移对盈余信息的敏感程度下降,说明投资者关注能够提高信息解读效率。     

客户盈余公告对供应商具有传染效应吗?

本文探究了客户进行盈余公告后的市场反应对供应商是否具有传染效应,研究发现:客户公告盈余后,供应商股价的市场反应与客户股价的市场反应正相关,即客户盈余公告对价值链上的供应商具有纵向传染效应;客户盈余公告的纵向传染效应受到客户同行业横向传染效应的影响,且方向具有一致性,与同行业企业为协同关系时这种影响更大;相对于供应商同行业公司的盈余公告,供应商的投资者更关注其客户的盈余公告信息;营业收入、营业成本变动越大,未预期盈余越高,盈余持续性越强,客户盈余公告对供应商的传染效应越强;客户供应商关系越紧密,客户盈余公告对供应商的传染效应越强。     

我国股票市场对定期报告的延迟反应异象研究

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。     

融资与融券交易的动机相同吗?——基于盈余公告视角的研究

自2010年以来,融资融券制度的变迁及由此带来的市场影响受到了广泛的关注和研究.不同于以往机制变迁视角的研究,文章基于盈余公告视角,研究了中国股票市场融资融券短期交易行为及交易动机.具体来说,文章以上市公司定期公布的年报为对象,研究了盈余公告发布之前投资者是否存在异常的融资融券交易行为,以及该交易行为是知情交易还是投机性交易;此外,文章进一步结合盈余公告后价格漂移和账面市值比两个指标,分析了基本面投资策略的影响.研究发现,中国股票市场上盈余公告前存在异常的融资融券交易,且异常融资交易与公告后的股票收益并没有显著的相关关系,表明这种融资交易行为是投机性交易;而异常融券交易与公告后的股票收益显著负相关,特别是当盈余公告为负面消息时,负相关关系更加显著,表明这种融券交易行为是知情交易.此外,融资融券过程中的基本面策略不影响结论的稳健性.文章的结论揭示了中国市场融资融券交易行为的异质性动机,对进一步有针对性地规范发展中国市场融资和融券业务具有重要的政策意义.     

机构投资者持股和会计盈余质量

本文从会计盈余质量的角度来研究机构投资者(’在公司治理中的作用。我们从盈余管理程度、盈余信息含量和盈余稳健性等三个方面来衡量会计盈余的质量。三方面的研究结果显示,机构投资者持股有助于改善会计盈余的质量:机构投资者持股公司的会计盈余质量显著高于其他公司,并且会计盈余的质量随着机构投资者持股比例的增加而增加。进一步研究发现,机构投资者还能够缓解大股东对会计盈余信息含量的恶化,起到一定的制衡作用。本文的研究表明,机构投资者能够在一定程度上改善上市公司的盈余质量,其快速成长有助于公司治理结构的改善,也有助于资本市场信息披露环境的良性发展。     

中国证券市场机构投资者与上市公司盈余管理关联性的研究

本研究从中国证券市场机构投资者与上市公司盈余管理之间关系这一视角出发,来说明机构投资者在公司治理中的作用,通过对相关理论的归纳和分析,构建了研究假设,在此基础上,利用中国上市公司数据,设计实证模型,对研究假设进行了论证.研究发现了在中国证券市场当机构投资者持股比例高时抑制盈余管理,机构持股比例低时加剧盈余管理,即倒U型的关系。研究应用截面数据分析、面板数据分析、单变量分析等方法,从2005年和2007年的数据验证出倒U型的拐点在机构持股6%,说明机构持股6%以后,在公司治理中发挥了抑制操纵盈余的盈余管理的积极作用。利用2004～2007年的数据,进一步的研究发现,随着近年机构投资者的发展和国家的政策导向,机构投资者对盈余管理的抑制作用越来越强,在公司治理中越来越显示出重要的作用。     

Earnings management by firms announcing earnings after SEC filing

This study examines motivation and stock market reactions of firms announcing earnings in the Wall Street Journal (WSJ) after filing with the Security Exchange Commission (SEC). Most firms announce earnings in the WSJ before SEC filing. Firms that reverse this sequence are voluntarily delaying public earnings announcements. The authors find that these firms are not only poor financial performers but also engage in earnings managements. They are delaying their WSJ announcements to postpone announcing bad news. The authors find significant stock price reactions to both the SEC filing and the WSJ announcement. The price reaction to earnings is incomplete at the SEC filings. The market continues reacting to firms' subsequent WSJ announcements as if the SEC filing fails to communicate earnings information to some investors.     

Does Social Media Get Your Attention?

The author investigates how social media affects stock prices and post–earnings announcement drift in response to companies’ quarterly earnings announcements. Using quarterly earnings data as well Twitter and StockTwits data, the author utilizes Twitter volume and a residual methodology to generate an attention proxy that is orthogonal to the growth of Twitter accounts. The author finds that the new attention brought by social media after the earnings announcements positively affects the cumulative abnormal returns. Further, even companies reporting bad news can still have positive immediate cumulative abnormal returns if they attract enough attention from investors after an earnings announcement. The new attention effects are different in both magnitudes and statistical significance between social media popular and unpopular industries.     

The Effect of Annual Earnings Announcements on the Chinese Stock Markets

This paper examines the annual earnings announcement effect of the stock markets in China. The investigation is based on events analysis and carried out by modeling the daily changes of stock returns using the M-EGARCH approach, by testing the news effects of annual earnings announcement on the conditional mean of abnormal return and the variance of the returns. It is found that a higher than expected earnings announcement leads to a rise in the conditional mean of stock returns on days before the news announcement and a fall afterwards. The conditional volatility of the changes are significantly reduced by bigger absolute values of reported earnings before the news announcement and increased afterwards, supporting the rejection of semi-strong-form efficiency.     

The New York Times and Wall Street Journal: Does Their Coverage of Earnings Announcements Cause “Stale” News to Become “New” News?

Recent research suggests that the stock market reacts to stale information if it is reported in the media because it is gives the impression of being “new” news. The objective of this study is to provide a unique test of this hypothesis using the time-series properties of quarterly earnings. It is well documented that seasonally differenced quarterly earnings for adjacent quarters are positively correlated. Therefore a component of current quarter earnings when reported is news that was known or predictable at the end of the prior quarter and thus is old news. We find for those firms that receive media coverage in the Wall Street Journal and The New York Times that the price reaction at the time of the announcement of current earnings to past quarter's seasonally differenced quarterly earnings is greater than those firms that do not receive media coverage. The result is consistent with stale earnings information being given the appearance of new information resulting in a further price reaction. This suggests that the stale information hypothesis and media coverage could be a partial explanation for post-earnings announcement drift.     

Value Relevance of Earnings in an Emerging Capital Market: the Case of A-shares in China

This study investigates the value relevance of earnings in the emerging capital market of China by examining the information content of accounting earnings measured under the People's Republic of China Accounting Standards (PRC-GAAP). Based on the A-shares of listed Chinese firms during 1994–97, a significant association is observed between annual market-adjusted stock return and the change of earnings. Also documented is a significant price reaction to the annual earnings announcement in a three-day window centered around the announcement date. Overall, the empirical results suggest that earnings reported in China are value-relevant to A-share investors.     

管理层业绩预告信息披露时机选择研究——基于投资者有限关注的视角

基于投资者有限关注的视角,以中国上市公司2005-2012年业绩预告信息为样本,研究发现:上市公司业绩预告信息披露存在时机选择行为,相比业绩预告信息少日和其他周历,管理层更倾向于在信息多日和周五、周六发布坏消息业绩预告。这有助于分散投资者注意力,从而减少坏消息导致的股价波动。     

Exploring the interaction between stock price index and exchange rates: an asymmetric threshold approach

This article examines the impact of stock market news on the foreign exchange markets of USA, Canada and UK, employing an innovative extension of the asymmetric threshold model of Apergis and Miller (2006). Under this framework we can disentangle the reaction of foreign exchange market to bad or good news and small or large news of stock returns. Our comprehensive daily data-set spans the period from January 1990 to June 2014. Using a cointegration and error correction model, we document the existence of a causal relationship between stock market and foreign exchange markets. Most interestingly, our results derived from the asymmetric threshold model confirm that the relationship between stock and foreign exchange markets is sensitive to short-term good or bad news and short-term small or large news. Our findings entail significant implications for policymakers, governments, risk managers and international investors.     

会计信息可比性与上市公司业绩预告外溢效应

现有信息披露对资本市场影响的实证研究主要集中研究公司信息披露与自身股价之间的关系。本文对我国上市公司2007—2017年发布的业绩预告的信息外溢效应进行了检验,发现上市公司业绩预告对行业内其他公司的市场反应具有显著解释力,表明我国资本市场业绩预告存在信息外溢现象。并且,公司间会计信息可比性越高,外溢效应越显著,表明会计信息可比性促进了公司间的信息传递,对投资者股票交易具有决策参考意义。进一步检验发现,可比性对信息外溢效应的促进作用在市场竞争更激烈的公司中更为显著。此外,预告公司和非预告公司的信息环境对信息传递的影响有所差异。本文研究结论为我国资本市场外部性现象提供经验证据,对于信息披露质量要求以及披露监管政策研究具有启示意义。     

An Investigation of Analysts' Praise of Management During Earnings Conference Calls

Through the textual analysis of a large sample of earnings conference calls, the authors find that analysts praise management on over half of earnings conference calls by saying complimentary phrases such as “congratulations on the great quarter.” The results show that analysts' complimentary phrases reflect the nature of the information released at the earnings announcement. The authors find that the amount of praise by analysts on an earnings conference call is strongly associated with the earnings surprise and to a greater extent the earnings announcement stock return. They also find that there is value to investors in tracking analysts' flattery of management during earnings conference calls, as it predicts abnormal stock returns over the following quarter. The findings, which are incremental to prior research on the tone of earnings conference calls, highlight a previously ignored aspect of analyst feedback.     

Investment banks' stock ratings,call warrant issuance,and responses from heterogeneous investors: Evidence from Taiwan

We investigate the responses of the different types of investors on stock rating change announcements made by investment banks around call warrant issuances in Taiwan. The unique characteristics of the Taiwan warrants market allow investment banks to make stock rating change announcements around call warrant issuances for the same stocks they rate. In Taiwan, investment banks are also dealers of call warrants, and thus, the profit and loss results from their warrant business are potentially in conflict-of-interest for their stock ratings. Another feature of the Taiwan stock market allows us to disentangle the types of investors initiating the stock trades. We identify three types of investors: institutional investors, experienced retail investors, and ordinary retail investors. Our findings suggest that institutional investors are able to “see-through” the conflict-of-interest in investment banks; experienced investors are able to partially “see-through” the conflict-of-interest, and ordinary retail investors are unable to “see-through” the conflict-of-interest of investment banks.