Journal of Financial Markets, Volume 29, June 2016, Pages 110–143.

收入新闻，预期收入和股票总体回报

作者：Jung Ho Choia (Booth School of Business, University of Chicago), Alon Kalayb (Columbia Business School, Columbia University), Gil Sadkac (Naveen Jindal School of Management, University of Texas at Dallas)

摘要：不同于公司层面的相关性，研究者发现总收入变化与股票总体回报负相关。我们在本文中根据分析师预测的调整，构造了总收入新闻的新的衡量方式。结果显示总收入新闻与当期股票回报正相关。结果同时显示，股票总体回报与未预期到的总预测误差正相关，并与预期的总收入增长负相关。总的来说，总收入变化与当期股票总体回报的负相关性来自总收入的预期部分，而不是意外的总收入。

关键词：股票价格；总收入；贴现率；预期回报；预期收入

Earnings news, expected earnings, and aggregate stock returns

Jung Ho Choia (Booth School of Business, University of Chicago), Alon Kalayb (Columbia Business School, Columbia University), Gil Sadkac (Naveen Jindal School of Management, University of Texas at Dallas)

ABSTRACT

In contrast to firm-level relations, researchers have found that aggregate earnings changes and aggregate stock returns are negatively related. In this paper, we construct new measures of aggregate earnings news based on revisions in analyst forecasts. The findings suggest aggregate earnings news is positively related to contemporaneous stock returns. The results also show that aggregate stock returns are positively related to unexpected aggregate forecast errors, and negatively associated with expected aggregate earnings growth. Taken together, these findings suggest the negative relation between aggregate earnings changes and aggregate contemporaneous stock returns results from the expected component of aggregate earnings, rather than aggregate earnings surprises.

Keywords：Stock prices; Aggregate earnings; Discount rates; Expected returns; Expected earnings

原文链接： http://www.sciencedirect.com/science/article/pii/S1386418116300350

翻译：黄怡文