Financial Management, Fall2016, Vol 45 Issue 3, p641-674.

盈餘公告前公司債券的知情交易

作者：Jason Wei (Department of Management, University of Toronto), Xing Zhou (Federal Reserve Board)

摘要：本篇論文運用來自NAIC和TRACE的數據測算了盈餘公告前公司債券交易的信息含量。我們發現公告前債券交易的方向與意外盈餘密切相關。這一關系在負面信息公布前和在高收益債券上表現得尤為明顯。進一步的，盈餘公告前的異常債券交易有助于預測意外盈餘和公告後債券回報。債券交易的預測能力很大程度來自機構規模交易，并且集中于發行者交易最為活躍的債券。最後，即使在考慮了交易成本後，知情的債券交易可以帶來顯著的淨利潤，尤其是在負面消息發布之前。

Informed Trading in Corporate Bonds Prior to Earnings Announcements.

Jason Wei (Department of Management, University of Toronto), Xing Zhou (Federal Reserve Board)

ABSTRACT

This paper examines the information content of corporate bond trading prior to earnings announcements using data from both NAIC and TRACE. We find that the direction of pre-announcement bond trading is closely related to earnings surprises. This link is most evident prior to negative news and in high-yield bonds. Further, abnormal bond trading during the pre-announcement period can help predict both earnings surprises and post-announcement bond returns. Such predictive ability of bond trading largely originates from institutional-sized trades and is concentrated in the issuer's most actively traded bond. Finally, even after accounting for transactions costs, informed bond trading can generate significant net profits, especially prior to the release of bad news.

原文鍊接：

http://onlinelibrary.wiley.com/doi/10.1111/fima.12123/abstract

翻譯：孫雨琦