Journal of Accounting and Economics, Volume 62, Issue 1, August 2016, Pages 103-120

市場盈餘異象、貨币政策和股票收益

作者：Lindsey A. Gallo (Ross School of Business, University of Michigan), Rebecca N. Hann (Robert H. Smith School of Business, University of Maryland), Congcong Li (School of Accountancy, Singapore Management University)

摘要：在這篇文章中，我們檢驗了市場盈餘與收益率之間的負相關關系能否被市場盈餘中包含的政策信息所解釋。我們利用聯邦基金利率期貨的數據來衡量政策調整，并由此發現市場盈餘能體現出美聯儲的政策調整。除此之外，在我們控制了政策異象之後，市場盈餘與收益率之間的負相關性會減弱。并且這種現象在消極的政策異象時期更加明顯，而這種消極的政策異象往往會觸發更加明顯的市場反應。總而言之，這些結果表明：市場盈餘能體現出政策調整信息，市場會對政策異象産生消極反應，而正是這兩點導緻了市場盈餘與收益率之間的負相關性。

關鍵詞：市場盈餘，貨币政策，股票收益率，聯邦基金利率期貨

Aggregate earnings surprises, monetary policy, and stock returns

Lindsey A. Gallo (Ross School of Business, University of Michigan), Rebecca N. Hann (Robert H. Smith School of Business, University of Maryland), Congcong Li (School of Accountancy, Singapore Management University)

ABSTRACT

This paper examines whether the negative association between aggregate earnings and returns is explained by the monetary policy news in aggregate earnings. Using Federal funds futures data to construct a measure of policy news, we find that aggregate earnings convey information about the Fed?s policy actions. Additionally, the negative aggregate earnings-returns association is muted when we control for policy surprises. This result is more pronounced in periods with negative policy surprises, which tend to trigger a more significant market reaction. Taken together, these results suggest that aggregate earnings convey policy news and the market reacts negatively to policy surprises, which drives the negative aggregate earnings-returns association.

原文鍊接：http://www.sciencedirect.com/science/article/pii/S0165410116300064

翻譯：汪國頌