Journal of Accounting and Economics, Volume 62, Issue 1, August 2016, Pages 103-120

市场盈余异象、货币政策和股票收益

作者：Lindsey A. Gallo (Ross School of Business, University of Michigan), Rebecca N. Hann (Robert H. Smith School of Business, University of Maryland), Congcong Li (School of Accountancy, Singapore Management University)

摘要：在这篇文章中，我们检验了市场盈余与收益率之间的负相关关系能否被市场盈余中包含的政策信息所解释。我们利用联邦基金利率期货的数据来衡量政策调整，并由此发现市场盈余能体现出美联储的政策调整。除此之外，在我们控制了政策异象之后，市场盈余与收益率之间的负相关性会减弱。并且这种现象在消极的政策异象时期更加明显，而这种消极的政策异象往往会触发更加明显的市场反应。总而言之，这些结果表明：市场盈余能体现出政策调整信息，市场会对政策异象产生消极反应，而正是这两点导致了市场盈余与收益率之间的负相关性。

关键词：市场盈余，货币政策，股票收益率，联邦基金利率期货

Aggregate earnings surprises, monetary policy, and stock returns

Lindsey A. Gallo (Ross School of Business, University of Michigan), Rebecca N. Hann (Robert H. Smith School of Business, University of Maryland), Congcong Li (School of Accountancy, Singapore Management University)

ABSTRACT

This paper examines whether the negative association between aggregate earnings and returns is explained by the monetary policy news in aggregate earnings. Using Federal funds futures data to construct a measure of policy news, we find that aggregate earnings convey information about the Fed?s policy actions. Additionally, the negative aggregate earnings-returns association is muted when we control for policy surprises. This result is more pronounced in periods with negative policy surprises, which tend to trigger a more significant market reaction. Taken together, these results suggest that aggregate earnings convey policy news and the market reacts negatively to policy surprises, which drives the negative aggregate earnings-returns association.

原文链接：http://www.sciencedirect.com/science/article/pii/S0165410116300064

翻译：汪国颂