MANAGEMENT SCIENCE · VOL. 63, NO. 5·MAY 2017

信息强度对股票收益是否重要？基于8-K表格的研究

作者：Xiaofei Zhao (University of Texas at Dallas - Jindal School of Management)

摘要：本文确定了美国公司物质信息流动的一个重要变化来源：公司8-K表格填写的频率。本文利用信息强度这种新型代理变量的横截面变化，发现信息强度较高的企业经历较低的未来收益和较低的未来波动率。在信息强度较低和先前波动程度较高的情况下，边际收益影响较大。平均而言，基于信息强度的长期投资组合每年产生4.3％的回报率。运用Fama–French三因素和动量因素调整后，异常收益每年仍然为4.4％。这些新发现表明，由于信息到达的动态性质，信息的频率/数量是影响上市公司信息环境和股票收益的重要来源。这些发现与噪声理性预期均衡模型和估计风险模型的预测相一致，并且强调了不完全信息在金融市场学习中的重要性。

关键词：信息和学习不完全；SEC当前报告；8-K表格；信息强度；横截面股票收益

Does Information Intensity Matter for Stock Returns? Evidence from Form 8-K Filings

Xiaofei Zhao (University of Texas at Dallas - Jindal School of Management)

ABSTRACT

This paper identifies an important source of variation in U.S. firms’ material information flows: their Form 8-K filing frequency. Exploiting cross-sectional variation in this novel proxy for information intensity, this paper finds that firms with higher information intensity experience lower future returns and lower future volatilities. The marginal return impact is higher at low levels of information intensity and high levels of prior volatility. On average, an information-intensity-based long-short portfolio generates a return spread of 4.3% per year. After adjusting for the Fama–French three factors and the momentum factor, the abnormal return remains 4.4% per year. These novel findings suggest that, because of the dynamic nature of information arrival, the frequency/quantity of information is an important source affecting the information environment and stock returns of public companies. These findings are consistent with the predictions of a broad class of noisy rational expectations equilibrium models and estimation risk models, and they highlight the importance of learning in financial markets with incomplete information.

Keywords: incomplete information and learning; SEC current report; Form 8-K; information intensity; cross-sectional stock returns

原文链接：

http://xueshu.baidu.com/s?wd=paperuri%3A%28a5647af7795b016b60cc05a8b17ef04a%29&filter=sc_long_sign&tn=SE_xueshusource_2kduw22v&sc_vurl=http%3A%2F%2Fpapers.ssrn.com%2Fsol3%2FDelivery.cfm%3Fabstractid%3D1916471&ie=utf-8&sc_us=6863159152890744036

翻译：景薇