Review of Financial Studies, April 2015, v. 28, iss. 4, pp. 1242-83

全球市場的盈餘公告後漂移現象：來自信息沖擊的證據

作者：Hung Mingyi； Li Xi； Wang Shiheng

摘要：本文研究當非美國企業的财務報告質量有外生性的、空前的提高時，盈餘公告後的價格漂移現象（PEAD）是否會受到影響以及将如何被影響。結果發現盈餘公告後漂移現象在信息沖擊後減弱，并且對于同期盈餘公告較少、機構投資者比例較高、套利限制較低的企業，盈餘公告後漂移減弱得更為顯著。此外，公司财務報告的重大變化、分析師預測準确性的提升、機構投資者比例的增加以及套利限制的減少是盈餘公告後漂移減弱的主要驅動因素。以上結論在國際層面上支持錯誤定價，尤其是有限關注理論對盈餘公告後漂移現象的解釋。

Post-Earnings-Announcement Drift in Global Markets: Evidence from an Information Shock

Hung Mingyi; Li Xi; Wang Shiheng

ABSTRACT

We investigate whether and how an exogenous and unprecedented improvement in non-U.S. firms' financial-reporting quality affects post-earnings-announcement drift (PEAD). We find that PEAD declines after the information shock, and this decrease is more pronounced for firms with fewer concurrent earnings announcements, greater institutional holdings, and lower limits to arbitrage. In addition, the decrease in PEAD is driven by firms with greater changes in financial reporting, an increase in analyst forecast accuracy and institutional ownership, and a decrease in limits to arbitrage. These findings support the mispricing explanation of PEAD, in particular the limited attention hypothesis, in an international setting.

原文鍊接：

http://rfs.oxfordjournals.org/content/28/4/1242

翻譯：黃怡文