{"title":"月末报告，现金流新闻和资产定价","authors":"C. Hong, Jialin Yu","doi":"10.2139/ssrn.3685595","DOIUrl":null,"url":null,"abstract":"We show that the stock market regularly and systematically receives information about company fundamentals through month-end reporting, even before the quarterly earnings announcement. Such cash-flow news concentrates at the beginning of a month and affects company announcements, analyst revisions, and stock returns. Using this time variation in cash-flow news, we show evidence supporting cash-flow news being more persistent than discount-rate news. Individual stock returns exhibit a post-monthly-announcement drift. Time series market momentum exists only when conditioning on past first-half month return, and is stronger when the past market-wide earnings surprise is bigger.","PeriodicalId":181062,"journal":{"name":"Corporate Governance: Disclosure","volume":"41 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2020-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Month-End Reporting, Cash-Flow News, and Asset Pricing\",\"authors\":\"C. Hong, Jialin Yu\",\"doi\":\"10.2139/ssrn.3685595\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We show that the stock market regularly and systematically receives information about company fundamentals through month-end reporting, even before the quarterly earnings announcement. Such cash-flow news concentrates at the beginning of a month and affects company announcements, analyst revisions, and stock returns. Using this time variation in cash-flow news, we show evidence supporting cash-flow news being more persistent than discount-rate news. Individual stock returns exhibit a post-monthly-announcement drift. Time series market momentum exists only when conditioning on past first-half month return, and is stronger when the past market-wide earnings surprise is bigger.\",\"PeriodicalId\":181062,\"journal\":{\"name\":\"Corporate Governance: Disclosure\",\"volume\":\"41 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2020-09-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Corporate Governance: Disclosure\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3685595\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Corporate Governance: Disclosure","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3685595","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Month-End Reporting, Cash-Flow News, and Asset Pricing
We show that the stock market regularly and systematically receives information about company fundamentals through month-end reporting, even before the quarterly earnings announcement. Such cash-flow news concentrates at the beginning of a month and affects company announcements, analyst revisions, and stock returns. Using this time variation in cash-flow news, we show evidence supporting cash-flow news being more persistent than discount-rate news. Individual stock returns exhibit a post-monthly-announcement drift. Time series market momentum exists only when conditioning on past first-half month return, and is stronger when the past market-wide earnings surprise is bigger.
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