Journal of Financial Markets, Volume 29, June 2016, Pages 110–143.

收入新聞，預期收入和股票總體回報

作者：Jung Ho Choia (Booth School of Business, University of Chicago), Alon Kalayb (Columbia Business School, Columbia University), Gil Sadkac (Naveen Jindal School of Management, University of Texas at Dallas)

摘要：不同于公司層面的相關性，研究者發現總收入變化與股票總體回報負相關。我們在本文中根據分析師預測的調整，構造了總收入新聞的新的衡量方式。結果顯示總收入新聞與當期股票回報正相關。結果同時顯示，股票總體回報與未預期到的總預測誤差正相關，并與預期的總收入增長負相關。總的來說，總收入變化與當期股票總體回報的負相關性來自總收入的預期部分，而不是意外的總收入。

關鍵詞：股票價格；總收入；貼現率；預期回報；預期收入

Earnings news, expected earnings, and aggregate stock returns

Jung Ho Choia (Booth School of Business, University of Chicago), Alon Kalayb (Columbia Business School, Columbia University), Gil Sadkac (Naveen Jindal School of Management, University of Texas at Dallas)

ABSTRACT

In contrast to firm-level relations, researchers have found that aggregate earnings changes and aggregate stock returns are negatively related. In this paper, we construct new measures of aggregate earnings news based on revisions in analyst forecasts. The findings suggest aggregate earnings news is positively related to contemporaneous stock returns. The results also show that aggregate stock returns are positively related to unexpected aggregate forecast errors, and negatively associated with expected aggregate earnings growth. Taken together, these findings suggest the negative relation between aggregate earnings changes and aggregate contemporaneous stock returns results from the expected component of aggregate earnings, rather than aggregate earnings surprises.

Keywords：Stock prices; Aggregate earnings; Discount rates; Expected returns; Expected earnings

原文鍊接： http://www.sciencedirect.com/science/article/pii/S1386418116300350

翻譯：黃怡文