MANAGEMENT SCIENCE· VOL. 61, NO. 5 · MAY 2015

股票收益对公司基本面新闻的反应

作者：Tolga Cenesizoglu (HEC Montréal- Department of Finance)

摘要：在经济良好时期，股票价格对好消息的反应是消极的，对坏消息的反应是积极的，而在经济萧条时期，它们对好消息做出积极的反应，对坏消息做出消极的反应。考虑到这个固定化的事实，我们认为资产定价模型中股息增长率不同值的切换取决于经济的基本状态。投资者从来观察不到真正的股息增长率，但要了解它不仅可以通过它的实现，也可以通过宏观经济指标这样的外部信号。在合理的假设下，不同经济状态下外部信号的不同精确度可以改变从经济良好和萧条时期的外部信号中得到的市场对新闻反应的符号。

关键词：资产定价；基本状态转换；学习；不对称反应；时变外部信号精确度；经济良好和萧条时期

The Reaction of Stock Returns to News About Fundamentals

Tolga Cenesizoglu (HEC Montréal- Department of Finance)

ABSTRACT

In good times, stock prices react negatively to good news and positively to bad news, whereas in bad times, they react positively to good news and negatively to bad news. To account for this stylized fact, we consider an asset pricing model where the dividend growth rate switches between different values depending on the underlying state of the economy. Investors never observe the true dividend growth rate, but learn about it through not only its realizations but also external signals such as macroeconomic indicators. Under plausible assumptions, the differing precision of external signals across different states of the economy can change the sign of the market reaction to news from external signals in good and bad times.

Keywords: asset pricing; regime switching fundamentals; learning; asymmetric reaction; time-varying external signal precision; good and bad times

原文链接：http://www.cirpee.org/fileadmin/documents/Cahiers_2010/CIRPEE10-32.pdf

翻译：景薇