对总收益冲击的不同敏感性是否推动了收益公告后的漂移?

Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal Pub Date : 2012-10-17 DOI:10.2139/ssrn.2163237

Suresh Nallareddy

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引用次数: 3

摘要

研究发现，收益公告后漂移策略的收益来源于个股收益对总收益冲击的差异敏感性。较大的负总收益冲击与较高的PEAD回报相关，因为PEAD卖出组合中的股票比买入组合中的股票对总收益冲击更敏感。这种对总收益冲击的差异敏感性推动了PEAD回报的很大一部分。在1985年至2009年的样本期间，投资者平均对总收益冲击感到负意外，导致PEAD策略的平均回报为正。进一步的分析表明，宏观经济冲击(通过总收益冲击起作用)解释了PEAD回报的变化。

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Does Differential Sensitivity to Aggregate Earnings Shocks Drive Post-Earnings-Announcement Drift?

This paper finds that returns to the post-earnings-announcement drift (PEAD) strategy result from differential sensitivity of individual stock returns to aggregate earnings shocks. Larger negative aggregate earnings shocks are associated with higher PEAD returns, because stocks in the PEAD’s sell portfolio are more sensitive to aggregate earnings shocks than those in the buy portfolio. Such differential sensitivity to aggregate earnings shocks drives a significant portion of PEAD returns. During the 1985 to 2009 sample period, investors were on average negatively surprised by aggregate earnings shocks, leading to average positive returns to the PEAD strategy. Further analysis suggests that macroeconomic shocks (that work through aggregate earnings shocks) explain the variation in PEAD returns.

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Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal

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