THE JOURNAL OF FINANCE ? VOL. LXXI, NO. 1 ? FEBRUARY 2016

盈餘公告與系統性風險

作者：Pavel G. Savor, Mungo Ivor Wilson

摘要：公司計劃發布盈餘公告，可以獲得9.9%的年化超額收益率。對這一現象，我們提出了一個基于風險的解釋，即投資者使用盈餘公告修正他們對未發布盈餘公告公司的預期，但這樣的預期是不完全的。因此，公司層面和市場層面現金流信息的協方差在公告發布前後劇增，使得公告發布者面臨更大的風險。與本文的假設一緻，公告公司的股票收益可以預測市場總的盈利。公告溢價在股票橫截面上持續存在，且早（晚）公告的公司可以獲得更高的（低）回報。未公告公司對公告的反應在時間序列與橫截面上均與我們的模型相符。最後，本文為盈餘公告風險進行了定價。

關鍵詞：風險溢價，盈餘，公告

Earnings Announcements and Systematic Risk

Pavel G. Savor, Mungo Ivor Wilson

ABSTRACT

Firms scheduled to report earnings earn an annualized abnormal return of 9.9%.We propose a risk-based explanation for this phenomenon, whereby investors use announcements to revise their expectations for nonannouncing firms, but can only do so imperfectly. Consequently, the covariance between firm-specific and market cash flow news spikes around announcements, making announcers especially risky. Consistent with our hypothesis, announcer returns forecast aggregate earnings. The announcement premium is persistent across stocks, and early (late) announcers earn higher (lower) returns. Nonannouncers’ response to announcements is consistent with our model, both over time and across firms. Finally, exposure to announcement risk is priced.

Keywords: Risk Premia, Earnings, Announcements

原文鍊接：https://www.researchgate.net/publication/228172045_Earnings_Announcements_and_Systematic_Risk

翻譯：任兆月