我国基金规模对业绩及其投资行为的影响分析

本文从实证角度出发,采用面板数据分析法研究基金规模与业绩及其投资行为之间的关系。结果显示:随着基金规模的扩大,基金经理先是倾向于提高投资组合内股票的持股比例,然后才是增加股票的数目,提高投资的分散化程度。大型基金随规模变大其投资分散化程度提高较显著;而大盘股基金随规模扩大其持股比例提高的程度较显著。     

Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors

Individual investors who hold common stocks directly pay a tremendous performance penalty for active trading. Of 66,465 households with accounts at a large discount broker during 1991 to 1996, those that trade most earn an annual return of 11.4 percent, while the market returns 17.9 percent. The average household earns an annual return of 16.4 percent, tilts its common stock investment toward high-beta, small, value stocks, and turns over 75 percent of its portfolio annually. Overconfidence can explain high trading levels and the resulting poor performance of individual investors. Our central message is that trading is hazardous to your wealth.     

Earnings Trend and Performance Relative to Benchmarks: How Consistency Influences Their Joint Use

Archival research shows that the market reacts to earnings trend as well as to earnings performance relative to analysts' forecasts (i.e., benchmark performance). We conduct four experiments to investigate how and why investors react to these two measures when both are available over multiple time periods. Our results show that investors rely on an earnings measure only when it is consistent over time. When both measures are consistent over time, investors use them in an additive fashion, suggesting that they view them as providing different information about the firm. Further tests show that investors believe that earnings trend and benchmark performance both provide information about a firm's future prospects and management's credibility. Although judged future prospects fully explain the effect of earnings trend on investor judgments, neither judged future prospects nor management credibility completely explains the effect of benchmark performance. Our study has implications for firm managers and researchers.     

The Relation between Returns and Earnings: Evidence for the UK

This paper presents an empirical study of the explanatory power of annual earnings figures for annual stock returns using UK data. The analysis is performed on a sample of companies, with varying year-ends, over the period 1969–1990. The research exploits Ohlson's recent theoretical contributions to the study of the valuation relevance of accounting information, and it complements a study by Easton and Harris (1991) on US data. Similar to the results of Easton and Harris, the results for the UK provide consistent evidence that both earnings levels and earnings differences have significant explanatory power for security returns. However, unlike Easton and Harris, the evidence from individual year regressions suggests that changes in earnings rather than the level of earnings may be more important in explaining security returns in the UK.     

From T-Bills to Common Stocks: Investigating the Generality of Intra-Week Return Seasonality

The authors investigate the extent to which intra-week seasonality still exists and whether its pattern is uniform across three stock indices and Treasury bonds with seven different maturities. They find that intra-week seasonality continues to be significant and that its pattern is not uniform, either between the stock indices and the Treasury bonds or even among the bonds alone. A pattern shared by stocks and bonds is that Monday returns become increasingly negative with maturity. These findings suggest that neither institutional nor general-equilibriumex planations by themselves can explain the pattern of intra-week seasonality in securities markets.     

An Analysis of the Relation between the Stewardship and Valuation Roles of Earnings

In this paper, we seek a deeper understanding of how accounting information is used for valuation and incentive contracting purposes. We explore linkages between weights on earnings in compensation contracts and in stock price formation. A distinction between the valuation and incentive contracting roles of earnings in Paul [1992] produces the null hypothesis that valuation earnings coefficients (VECs) and compensation earnings coefficients (CECs) are unrelated. Our empirical analyses of the relations between earnings and both stock prices and executive compensation data at the firm and industry levels over the period 1971–2000 rejects Paul's [1992] hypothesis of no relation. We also document an increasing weight over time on other public performance information captured by stock returns in the determination of cash compensation. Specifically, we find that the incentive coefficient on returns is significantly higher in the second of two equal sample subperiods relative to the incentive coefficient on earnings.     

The Relation Between Investor Uncertainty and Market Reactions to Earnings Announcements: Evidence from the Property‐Casualty Insurance Industry in the USA

Abstract:   This paper investigates the relationship between investor uncertainty, gauged by properties of analysts' forecasts, and the stock market response to earnings. We find that uncertainty is best characterized by a comprehensive measure recently proposed by Barron, Kim, Lim and Stevens (1998) , BKLS. The BKLS measure is related to uncertainty‐inducing events, as well as factors that affect the difficulty faced by analysts in forecasting earnings. We conclude that, first, pre‐disclosure uncertainty is a significant determinant of the price reaction to the earnings release, and second, BKLS is a more comprehensive measure of uncertainty than simple dispersion.     

阈值处的盈余分布断层:盈余管理解释的实证检验

本文利用中国沪深两市2008-2010年A股上市公司财务数据,检验了阈值处的盈余分布断层是否由盈余管理引起。检验结果表明,避免报告亏损和避免盈余下降动机诱发了阈值两侧样本公司盈余的异常变动,这些异常变动包括:第四季度初的微损公司和微利公司中有异常高比例的公司报告年度微利;第四季度初的盈余微增长公司和盈余微下降公司中有异常高比例的公司报告年度微增长。正是这些公司的盈余的异常变动导致了阈值处的盈余分布断层。本文的研究不仅为盈余分布断层的盈余管理解释提供了充分证据支持,也为投资者和监管机构及时发现公司的盈余管理行为提供了参考依据。     

Performance of UK Investment Trusts: 1980–1994

This study investigates the selectivity and timing performance of a large sample (79) of UK investment trusts over a long period (15 years) by applying a number of models. There are few studies in this area in the UK. It is often argued that investors hold investment trust shares to obtain diversification and managerial skills. Managerial skill, if present, should be observed in the form of superior selectivity and timing performance measures. The general decline in the level of discount observed in the industry over the sample period suggests that excess returns could be obtained by holding investment trusts shares. We use single index and multifactor models for the analysis. Positive but statistically insignificant, selectivity estimates and negative, and at times significant, timing estimates are observed.     

财务分析师盈利预测的投资价值:来自深沪A股市场的证据

本文研究了中国股票市场上财务分析师的盈利预测信息对投资者是否有价值。我们发现,可以利用公开的盈利预测制定可获利的套头交易策略。套头交易的回报率不仅在统计意义上显著大于零,而且在经济意义上也是显著的。这些结果不受不同的检验方法影响,也无法为我们所考虑到的风险因素所解释。本文的发现说明了中国的股票市场尚未达到Fama(1970)意义上的半强式有效,投资者在投资决策时可以利用分析师的盈利预测以提高其投资的回报。此外,本文的结果也有助于回答中国的财务分析师是否具有专业胜任能力这一颇有争议的问题。     

价值溢价和后见之明——基于会计业绩的价值投资策略实证研究

本文从后见之明心理角度对价值溢价的原因进行了解释,并相应设计了基于上年财务报告所反映会计业绩的反应过度和反应不足价值选股模型.对两个新构建价值组合投资业绩的检验表明,在1999年～2009年的投资区间里,反应不足模型(近期会计业绩表现良好的价值股组合)获得了显著的超额报酬,反应过度模型则只在2005年以后才连续战胜市场.     

中国上市公司收益透明度实证研究

本文运用收益激进度和收益平滑度这两项指标 ,对 2 0 0 0年 12月 31日前在沪深两市上市的公司从 1994年到 2 0 0 2年的收益透明度变化趋势进行了系统的实证分析。分析结果表明 :A股上市公司从 1994到 2 0 0 2年收益透明度的总体趋势是上升的 ,只是在 1997年附近和 2 0 0 0年附近出现偏离情况 (即略为下降 )。论文还对我国上市公司IPO前后收益透明度 ,分行业以及分股票类型的收益透明度进行了分析 ,并完成了各种稳健性检验。     

Seasonality in Fund Performance: An Examination of the Portfolio Holdings and Trades of Investment Managers

Abstract:  This study examines the extent to which seasonal variation arises across calendar months in the performance of active Australian equity managers. While it is well documented that there is seasonality in equity market returns, it is unknown whether calendar month variation in managed fund performance exists. Employing a unique database of monthly stock holdings, we find evidence consistent with systematic variation in the risk-adjusted performance of active investment managers over the calendar year. Specifically, we find fund performance is higher in the months when corporate earnings are announced. We also document that the performance of fund managers is lower in the months preceding the tax year-end. Finally, we report evidence that investment manager performance is greater than normal in December, possibly due to both window dressing and the Christmas holiday effect. These findings have important implications for investors attempting to exploit anomalies in fund returns by timing their entry and exit points from active equity funds.     

剩余收益持久性和边际投资收益率的相关性研究

自从Feltham 和Ohlson(1995)的剩余收益模型提出后,剩余收益持久性这一概念逐渐引起了学界的注意.剩余收益持久性和会计盈余的持久性有着密切的联系,当净营业资产增长率大于零时,该持久性与边际投资收益率这一因素有着负相关的关系.实证检验结果与理论分析一致.