Journal of Financial Markets，Volume 41, November 2018, Pages 92-116

极端日常回报何时不是彩票？收益公告时！

作者：Hung T.Nguyen(Massey University)

CameronTruong (Monash University)

摘要：使用1973年至2015年期间的美国股票样本，我们发现季度盈利公告能够解释MAX最高的投资组合中每日最高回报总额的18％以上。收益公告导致的每日最高回报不会导致未来收益率下降。投资组合和回归分析都显示，当以盈利公告作为MAX回报的条件时，MAX现象完全消失。 我们进一步表明，盈利公告的MAX回报并不表示未来短期回报大幅上涨的可能性。在构建彩票需求因子时，剔除盈利公告的MAX收益，不仅会带来更大的彩票需求溢价，而且会导致更好的因子模型的表现。

关键词：极端回报;盈利公告;彩票类回报;横截面回报可预测性

When are extreme daily returns not lottery? At earnings announcements!

Hung T.Nguyen(Massey University)；CameronTruong (Monash University)

ABSTRACT

Using a sample of U.S. stocks over the period 1973–2015, we find that quarterly earnings announcements account for more than 18% of the total maximum daily returns in the top MAX portfolio. Maximum daily returns as triggered by earnings announcements do not entail lower future returns. Both portfolio and regression analyses show that the MAX phenomenon completely disappears when conditioning MAX returns on earnings announcements. We further show that earnings announcement MAX returns do not indicate a probability of future large short-term upward returns. Excluding earnings announcement MAX returns in constructing the lottery demand factor results in not only a larger lottery demand premium but also superior factor model performance.

Keywords: Extreme returns；Earnings announcements；Lottery-like payoffs；Cross-sectional return predictability

原文链接：https://www.sciencedirect.com/science/article/pii/S1386418117302239

翻译：黄涛