对收益公告意见分歧的回应:来自美国存托凭证的证据

IF 1.8 Q2 BUSINESS, FINANCE
Fang-Yi Shen, Quantong Guo, Hongyan Liang, Zilong Liu
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引用次数: 0

摘要

目的研究投资者意见分歧与国外股票资产价格之间的关系,并考察国内市场国家层面因素对意见分歧对股票价格的影响。设计/方法/方法作者采用具有固定效应的面板数据估计来检验东道国市场对不同意见的收益公告的反应。本文使用了42个国家从1985年到2011年的美国存托凭证(adr)。研究结果:作者发现,意见分歧与超额季度收益公告回报率之间存在负相关关系,投资者确实根据好与坏的收益冲击不对称地处理信息。此外,作者发现,在有卖空限制的国家,意见分歧与adr盈余公告超额收益之间的负相关关系更为明显,而其他国内市场层面的因素——内幕交易法的执行、法律来源、投资者保护和会计准则评级——并不影响投资者意见分歧与股票收益之间的关系。原创性/价值本文是第一批在米勒框架中引入不对称效应的研究之一,并加强了对米勒(1977)中记录的价格收敛的理解。此外,本研究纳入国内市场国家层面的因素来解释投资者意见分歧与股票收益之间的关系。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Responses in divergence of opinion to earnings announcements: evidence from American depository receipts
PurposeThe purpose of this paper is to investigate the relationship between investors' divergence of opinions and the asset prices of foreign stocks and also examine the effect of home market country-level factors on the influence of divergency of opinions on stock price.Design/methodology/approachThe authors employ panel data estimation with fixed effects to examine the host market response in divergent opinions to the earnings announcements. The paper uses the American Depositary Receipts (ADRs) of 42 countries from 1985 to 2011.FindingsThe authors find a negative relationship between differences of opinions and excess quarterly earnings announcement returns, and investors do process information asymmetrically based on good and bad earnings shocks. In addition, the authors find the negative relationship between divergent opinions and excess earnings announcement returns in ADRs is more pronounced in countries with short-sales restrictions, while other home-market country-level factors – the enforcement of insider trading law, legal origin, investor protection and rating on accounting standard – do not influence the relationship between investors' divergency of opinion and stock returns.Originality/valueThis paper is among the first to bring asymmetric effects on convergence in Miller framework and enhance the understanding of price convergence documented in Miller (1977). In addition, this study incorporates home-market country-level factors in explaining the relationship between investors' divergency of opinions and stock returns.
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来源期刊
CiteScore
4.10
自引率
0.00%
发文量
47
期刊介绍: Treasury and Financial Risk Management ■Redefining, measuring and identifying new methods to manage risk for financing decisions ■The role, costs and benefits of insurance and hedging financing decisions ■The role of rating agencies in managerial decisions Investment and Financing Decision Making ■The uses and applications of forecasting to examine financing decisions measurement and comparisons of various financing options ■The public versus private financing decision ■The decision of where to be publicly traded - including comparisons of market structures and exchanges ■Short term versus long term portfolio management - choice of securities (debt vs equity, convertible vs non-convertible)
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