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不足或过度反应:市场对盈利意外公告的回应

AM Alwathnani H. Al-Zoubi
国际财务分析评论。 七月1,2017

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Vol 52,pp.160-171

抽象

我们测试了有充分证据的市场对收益意外公告的反应是否是一种表现形式 投资者 对收益新闻极其好坏的反应过度或反应过度。 利用QT季度极端收益意外(即SUE)公布的三天期间的市场反应t 作为参考点,我们显示公司在后续季度Q中报告了高(低)SUEt + 1 这证实了他们的第一季度问题t 在相同的最高或最低SUE五分位数的SUE排名产生增量 价钱 运行方向与初始SUE方向相同。 然而,确认SUE信号的价格影响弱于其初始SUE的价格影响。 我们的研究结果对于由动量因子和其他一些因素延伸的法马 - 法国三因子每日回归是稳健的 稳健性 试验。 我们的结果与投资者对盈利新闻反应不足的流行观点不一致。 相反,证据表明投资者最初对极端SUE信号的反应过度。

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