Journal of Portfolio Management, Summer 2016, v. 42, iss. 4, pp. 88-95

恐懼和貪婪：盈餘公告時期基于回報率的交易策略

作者：Ivo Ph. Jansen (Rutgers University in Camden), Andrei L. Nikiforov (Rutgers University in Camden)

摘要：這篇文章證明了盈餘公告能夠驗證市場短期内由恐懼和貪婪驅動的價格走勢。那些在盈餘公告前一周有極大超額收益的股票在盈餘公告時期内将出現強烈的價格反轉現象。基于作者的發現，一個利用該反轉現象的交易策略在最近42年中有40年能夠獲利，并且可以在兩天的窗口期中獲得超過1.3%的超額收益。

Fear and Greed: A Returns-Based Trading Strategy around Earnings Announcements

Ivo Ph. Jansen (Rutgers University in Camden), Andrei L. Nikiforov (Rutgers University in Camden)

ABSTRACT

This article documents that earnings announcements serve as a reality check on short-term, fear- and greed-driven price development. Stocks with extreme abnormal returns in the week before an earnings announcement experience strong price reversals around the announcement. Based on the findings of the authors, a trading strategy that exploits this reversal would have been profitable in 40 of the last 42 years and earned abnormal returns in excess of 1.3% over a two day-window.

原文鍊接：http://www.iijournals.com/doi/full/10.3905/jpm.2016.42.4.088

翻譯：吳雨玲