哪位投资者会纠正围绕收益公告的错误定价？

IF 5.3 2区经济学 Q1 BUSINESS, FINANCE

Pacific-Basin Finance Journal Pub Date : 2025-03-18 DOI:10.1016/j.pacfin.2025.102745

Jihoon Goh , Byounghyun Jeon

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引用次数: 0

摘要

利用每日投资者群体层面的交易数据，我们调查了哪些交易与异常相符，并有助于修正收益公告周围的错误定价。在财报公布前后，机构卖出价格过高的股票的数量是非财报公布日的四倍。尽管散户投资者在非财报日买入价格过高的股票，但在财报公布前后，这种趋势就会消失。只有当这些股票是由机构卖出时，在短期的异常情况下，股票的过高定价才会在财报发布前后得到解决，这突显了机构在披露错误定价方面的作用。当股票更容易卖空时，修正过高定价的机构交易更为强劲。相反，在卖空禁令期间，没有证据表明机构在财报发布前后卖出定价过高的股票，这再次证明了卖空限制在阻碍定价错误调整方面的作用。

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Which investor corrects mispricing around earnings announcements?

Using daily investor group-level trading data, we investigate whose trades align with anomalies and contribute to the correction of mispricing around earnings announcements. Around earnings announcements, institutions sell overpriced stocks four times more than they do on non-earnings days. Although retail investors purchase overpriced stocks on non-earnings days, such a tendency disappears around the earnings announcements. The overpricing of stocks in the short leg of anomalies is resolved around earnings announcement only if these stocks were sold by institutions, highlighting institutions' role in revealing mispricing. The institutional trades to correct overpricing are stronger when stocks are easier to sell short. On the contrary, during the short selling ban period, there is no evidence that institutions sell overpriced stocks around earnings announcements, reaffirming the role of short selling constraints in hindering mispricing correction.

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来源期刊

Pacific-Basin Finance Journal BUSINESS, FINANCE-

CiteScore

6.80

自引率

6.50%

发文量

157

期刊介绍： The Pacific-Basin Finance Journal is aimed at providing a specialized forum for the publication of academic research on capital markets of the Asia-Pacific countries. Primary emphasis will be placed on the highest quality empirical and theoretical research in the following areas: • Market Micro-structure; • Investment and Portfolio Management; • Theories of Market Equilibrium; • Valuation of Financial and Real Assets; • Behavior of Asset Prices in Financial Sectors; • Normative Theory of Financial Management; • Capital Markets of Development; • Market Mechanisms.