系统性定价偏误:中国A股盈余公告后的价格漂移研究

行为金融学的研究表明,投资者情绪引起的定价偏误在各支股票之间具有相关性,从而构成市场上的系统性定价偏误。基于2003年6月至2009年6月中国A股月度交易数据,本文考察了系统性定价偏误与盈余公告后漂移(PEAD)之间的关系。研究结果显示,中国股票市场上的PEAD现象可能由系统性定价偏误引致,因此,将捕捉系统性定价偏误的偏误定价因子引入定价模型能够提升模型对于PEAD的解释力。经过对定价模型调整,季度盈余公告后6个月买人持有异常收益在经济及统计意义上不显著。这一方面表明中国股票市场上存在由投资者情绪造成的系统性定价偏误,另一方面也为盈余公告后漂移的产生原因提供了新的解释。     

Price and earnings momentum in Australian stock returns

There is no prior published Australian research on earnings momentum and only one prior unpublished work of limited depth and scope. We provide some of the first Australian evidence on earnings momentum and revisit price momentum with the first Australian evidence of the behaviour of returns beyond 12 months. Price momentum is found to be a feature of this market, but there is some reversal of returns during the second year after portfolio formation, suggesting trend chasing behaviour. Earnings momentum is also present, but with weak continuation into the second year. Price momentum and earnings momentum are shown to provide independent explanatory power over future returns.     

Stock Market Anomalies: What Can We Learn from Repurchases and Insider Trading?

We examine whether managers’ trading decisions (both at a firm and personal level) are correlated with trading strategies suggested by the operating accruals and the post-earnings announcement drift (SUE) anomalies. We discuss advantages and disadvantages of the use of managerial trading activity to infer managers’ private valuation about their own securities. Our results provide corroborative evidence for the accruals anomaly, i.e., managers’ repurchase and insider trading behavior varies consistently with the information underlying the operating accruals trading strategy. On the other hand, we do not find corroborative evidence for the SUE anomaly.

Earnings management and earnings quality

Viewing the detection of earnings management from the perspective of a crime scene investigator sheds new light on prior research on earnings management and its close relative, earnings quality. The works of Ball and Shivakumar [2008. Earnings quality at initial public offerings. Journal of Accounting and Economics, in press.] and Teoh et al. [1998. Earnings management and the subsequent market performance of initial public offerings. Journal of Finance 53, 1935–1974.] are used to illustrate the application of seven components of a crime scene investigation to earnings management research.     

A neoclassical interpretation of momentum

The neoclassical theory of investment implies that expected stock returns are tied with the expected marginal benefit of investment divided by the marginal cost of investment. Winners have higher expected growth and expected marginal productivity (two major components of the marginal benefit of investment), and earn higher expected stock returns than losers. The investment model succeeds in capturing average momentum profits, reversal of momentum in long horizons, long-run risks in momentum, and the interaction of momentum with several firm characteristics. However, the model fails to reproduce the procyclicality of momentum as well as its negative interaction with book-to-market equity.     

Religious holidays,investor distraction,and earnings announcement effects

We examine price reactions to U.S. firms’ earnings announcements during Easter week in order to analyze whether and how the religious holiday calendar impacts investors’ information processing. We find that there is an asymmetric pattern of immediate and delayed responses to earnings surprises experienced during Easter, entailing similar immediate reactions to both good and bad news and a stronger delayed response to bad news. Moreover, local religious characteristics affect investor’s response to firm news. The results are consistent with a religion-induced distraction effect on investors’ information processing ability. We also show that this effect can form the basis for a profitable trading strategy. The findings highlight the importance of religion for firms’ information environment and for the local component of stock prices.     

International price and earnings momentum

In this paper, we find that price and earnings momentum are pervasive features of international equity markets even when controlling for data-snooping biases. For Europe, we show price momentum to be subsumed by earnings momentum on an aggregate level. However, this rationale can hardly be sustained on a country level. Also, the above explanation is confined to certain time periods in the USA. Since we cannot establish a decent relation between momentum and macroeconomic risks, we suspect a behavior-based explanation to be at work. In fact, we find momentum profits to be more pronounced for portfolios characterized by higher information uncertainty. Hence, the momentum anomaly may well be rationalized in a model of investors underreacting to fundamental news. Finally, we find that momentum works better when limited to stocks with high idiosyncratic risk or higher illiquidity, suggesting that limits to arbitrage deter rational investors from exploiting the anomaly.     

Insider trading,future earnings,and post-earnings announcement drift

This paper examines the association between insider trading prior to quarterly earnings announcements and the magnitude of the post-earnings announcement drift (PEAD). We conjecture and find that insider trades reflect insiders’ private information about the persistence of earnings news. Thus, insider trades can help investors better understand and incorporate the time-series properties of quarterly earnings into stock prices in a timely and unbiased manner, thereby mitigating PEAD. As predicted, PEAD is significantly lower when earnings announcements are preceded by insider trading. The reduction in PEAD is driven by contradictory insider trades (i.e., net buys before large negative earnings news or net sells before large positive earnings news) and is more pronounced in the presence of more sophisticated market participants. Consistent with investors extracting and trading on insiders’ private information, pre-announcement insider trading is associated with smaller market reactions to future earnings news in each of the four subsequent quarters. Overall, our findings indicate insider trading contributes to stock price efficiency by conveying insiders’ private information about future earnings and especially the persistence of earnings news.     

The puzzling behavior of short sellers around earnings announcements

We examine the performance of ‘predictive’ and ‘reactive’ short sellers who take relatively large short positions immediately before and after quarterly earnings announcements, respectively. While both types short into advancing markets, it is surprising for reactive shorts since their trades are in stocks that just announced unexpected good news and thus, according to the post-earnings announcement drift anomaly, will subsequently have abnormally high cumulative returns. Nevertheless, we find that for both types of short sellers: (1) subsequent cumulative returns are significantly negatively related to the amount of abnormal short selling, suggesting they are informed, and (2) relative to non-earnings dates, the subsequent returns around earnings announcements are significantly more negative, indicating they appear to be adept at exploiting earnings announcements. Surprisingly, we find that the subsequent returns of reactive short sellers are significantly greater than those of predictive short sellers except for S&P 500 stocks, perhaps due to their greater analyst following. Importantly, we are left with two puzzles. First, reactive shorts would have significantly improved their performance had they based their trades on the size of standardized unexpected earnings (‘SUE’). Second, predictive shorts of Micro stocks would have significantly improved their performance had they simply waited until earnings were announced and then based their trades on SUE.     

High accruals momentum

We examine the information content of high accruals momentum defined as a string of high discretionary accruals for four consecutive years. We find that firms that consistently report high levels of discretionary accruals experience low subsequent returns. The results are robust after we control for annual levels of discretionary accruals for the estimation period of high accruals momentum. Furthermore, the predictive power of the high accruals momentum for future returns is strongly persistent even after the existing accruals anomaly disappears. Our results also show that the high accruals momentum impact is more pronounced for low growth firms, suggesting that the overpricing of stocks with high accruals momentum is driven by managerial discretion to manage earnings.     

Does Post-Earnings-Announcement Drift in Stock Prices Reflect A Market Inefficiency? A Stochastic Dominance Approach

This paper uses a stochastic dominance approach to test for market efficiency following earnings announcements. We find that the stocks that recently announced good earnings news stochastically dominate those that recently announced bad news. The results cast serious doubt on any belief that asset pricing model misspecifications might explain post-earnings-announcement drift.     

Price momentum in the New Zealand stock market: a proper accounting for transactions costs and risk*

We test for recently reported momentum profits in New Zealand using a practitioner technique that we have not yet seen in the academic literature. This technique simultaneously weighs returns, risk and transactions costs at each portfolio rebalance, rather than blindly chasing returns and then accounting for risk and transactions costs after the fact. We reverse the findings of the earlier literature because our gross profits are more than fully consumed once transactions costs are properly accounted for. Although we focus on momentum trading in New Zealand, our practitioner technique is broadly applicable to investigations of trading anomalies.     

Earnings management, lawsuits, and stock-for-stock acquirers’ market performance

There is a positive association between stock-for-stock acquirers’ pre-merger abnormal accruals and post-merger announcement lawsuits. The market only partially anticipates the effects of post-merger announcement lawsuits at the merger announcement and the post-merger announcement long-term market underperformance is largely limited to litigated acquisitions. Overall, the evidence suggests that it is important that investors not only undo the direct stock price effects of earnings management but also factor the contingent legal costs associated with earnings management.     

Earnings Preannouncement Strategies

We examine the disclosure strategies managers follow when theyd preannounce quarterly earnings shortly before formal earnings announcements. We document that managers with bad news release essentially all of their news at the preannouncement date, while managers with good news only release about half of their news. Controlling for the combined news released at the preannouncement and earnings announcement dates, firms with negative earnings announcement surprises have significantly lower excess returns for the period from just before the preannouncement to just after the earnings announcement. This finding is consistent with the observed disclosure strategies whereby managers attempt to avoid negative earnings announcement surprises, and suggests that how information is presented can affect the market's reaction to that information.     

Does news play an important role in the correction process of the accrual anomaly?

We examine whether the financial press plays an important role in the correction of the accruals anomaly. Using 83,016 Wall Street Journal news articles published during 1993–2006, we find that a significant fraction of abnormal returns associated with the accruals trading strategy is concentrated on news days. The clustering of returns on news announcements is consistent with the financial press revealing information valuable for the correction of accruals mispricing. Further, we find that earnings‐related news is more influential in the correction process than non‐earnings‐related news. Collectively, the results suggest that the financial press provides useful information to capital market participants.     

Non-parametric momentum based on ranks and signs

This study proposes alternative momentum strategies built on the rank and sign of daily returns. Rank and sign momentum strategies are robust to the presence of extreme price movements. They generate significant profits for short-term holding periods and exhibit no long-term return reversals. More importantly, they subsume traditional price momentum, but not vice versa. In addition, rank and sign momentum strategies experience much weaker momentum crashes. Further evidence indicates that rank and sign momentum profitability is less vulnerable to salient past returns while traditional price momentum winners (losers) tend to be overvalued (undervalued) when they face a higher degree of salience.     

Earnings management and accrual anomaly across market states and business cycles

This paper examines if the conditioning on market states is important to earnings management behaviors and profitability of accrual hedge strategy. This paper discusses four findings. First, accrual profits are consistently positive across both market states and significantly higher in DOWN markets. Second, while earnings management exists in both market states, the management effort is less effective and short-lived in the DOWN state. Third, this paper finds that the accrual effect exists but varies across industries. Finally, this paper examines how business cycles associate with accrual anomaly and show that accruals mispricing cannot be fully captured by macroeconomic model predicted returns.     

Earnings Co-movements and the Informativeness of Earnings

We examine the informativeness of earnings in the presence of earnings co-movements. Many theoretical studies infer that the more a firm's earnings move with the market the less weight investors need to place on those earnings, thus rendering them less informative. On the other hand, managers have less opportunity to bias the earnings signal the more earnings co-move, making them more reliable. We measure earnings co-movement using an industry–firm pairing correlational technique. Overall our results show both the degree of co-movement and the ordering of earnings announcements impacts on the informativeness of earnings as indicated by earnings response coefficients. Earnings responses are larger for firms that report earnings before their most highly correlated industry peer, but the responses are reduced as earnings co-movement increases. We interpret our results to indicate that the more earnings co-move with an industry peer the less informative earnings become, but only when the peer firm is able to obtain information at a later date.     

机会主义盈余管理、投资者情绪与股价崩盘风险

股价崩盘风险受到哪些因素影响一直是学者和资本市场关注的热点问题之一,本文考察了机会主义盈余管理行为如何影响股价崩盘风险。本文选取2007-2016年中国上市公司数据进行研究,结果发现:上市公司的盈余管理程度与股价崩盘风险呈显著正相关关系;相对于非机会主义,机会主义的盈余管理对股价崩盘风险的影响更大;无论是盈余管理程度、还是机会主义盈余管理行为,对股价崩盘风险的影响都随着投资者情绪高涨而加大。本文拓展了盈余管理与股价崩盘风险之间关系的研究,有助于投资者全面理解机会主义盈余管理对股价崩盘风险的影响。     

Currency momentum,carry trade,and market illiquidity

This study empirically examines the effect of equity market illiquidity on the excess returns of currency momentum and carry trade strategies. Results show that equity market illiquidity explains the evolution of currency momentum strategy payoffs, but not carry trade. Returns on currency momentum are low following months of high equity market illiquidity. However, in the recent decade, illiquidity positively predicts the associated payoffs. The findings withstand various robustness checks and are economically significant, approximating in value to one-third of average monthly profits.