Journal of Financial Economics, Volume 118, Issue 2, November 2015, Pages 383-398, ISSN 0304-405X ,November 2015
盈餘公告前流動性交易的不對稱減少和盈餘公告溢價
作者:Shai Levi(School of Management- Tel Aviv University),Xiao-Jun Zhang(Haas School of Business-UC Berkeley)
摘要:投資者不願在信息高度不對稱的盈餘公告前幾天做交易。我們證明了公告前流動性交易的減少是不對稱的。具體來說,我們分析了被動投資策略下投資者的買賣指令,發現投資者在盈餘公告前賣出量的減少不如買入量減少得多。對流動性有需求的投資者會在公告前以相對公告後價格的折價賣出股票,這些發生在公告前、為得到流動性而發生的賣出操作是最終平均正回報率的重要驅動力,平均正回報率可以理解為刻畫盈餘公告期間風險的回報溢價。
關鍵詞:盈餘公告溢價,流動性
Asymmetric decrease in liquidity trading before earnings announcements and the announcement return premium
Shai Levi (School of Management-Tel Aviv University), Xiao-Jun Zhang (Haas School of Business-UC Berkeley)
ABSTRACT
Investors are reluctant to trade in the high-information-asymmetry days before earnings announcements. We show that the decrease in liquidity trading before announcements is asymmetric. We analyze buy and sell orders of investors with passive investment strategies, and find they do not reduce their sales as much as their purchases in the days before announcements. Investors needing liquidity sell stocks at a discount relative to the post-announcement price, and these preannouncement liquidity sales are a significant driver of the average positive returns, or return premium, known to characterize announcement days.
Keywords:Earnings announcement premium; Liquidity
原文鍊接:http://www.sciencedirect.com/science/article/pii/S0304405X15001427
翻譯:吳雨玲