Review of Finance, Volume 21, Issue 6, October 2017, Pages 2199–2248

外国信息是否预测了跨国公司的股票收益？

作者：Christian Finke (University of St. Gallen, Switzerland), Florian Weigert (University of St. Gallen, Switzerland)

摘要

我们研究价值相关的外国信息是否只是逐渐稀释了全球跨国公司的股票价格。使用22个发达国家公司的国际样本，我们发现基于公司国外销售信息的投资组合策略产生超过10%的未来收益。这个由国外信息产生的收益在不同的地理区域都是显著的，并且它不能被传统的风险因素、企业特征和行业动量来解释。外国信息是这个效应在全球范围内的主要驱动力，我们的结果与投资者对外国信息的有限关注是一致的，。

Does Foreign Information Predict the Returns of Multinational Firms Worldwide?

Christian Finke (University of St. Gallen, Switzerland), Florian Weigert (University of St. Gallen, Switzerland)

ABSTRACT

We investigate whether value-relevant foreign information only gradually dilutes into stock prices of multinational firms worldwide. Using an international sample of firms from twenty-two developed countries, we find that a portfolio strategy based on firms’ foreign sales information yields future returns of more than 10% p.a. globally. The return spread due to foreign information is substantial across different geographical regions and cannot be explained by traditional risk factors, firm characteristics, and industry momentum. Our results are in line with limited attention of investors to foreign information being the main driver of this effect worldwide.

原文链接：https://academic.oup.com/rof/article-abstract/21/6/2199/2888418?redirectedFrom=fulltext

翻译：阙江静