Review of Financial Studies, April 2015, v. 28, iss. 4, pp. 1242-83

全球市场的盈余公告后漂移现象：来自信息冲击的证据

作者：Hung Mingyi； Li Xi； Wang Shiheng

摘要：本文研究当非美国企业的财务报告质量有外生性的、空前的提高时，盈余公告后的价格漂移现象（PEAD）是否会受到影响以及将如何被影响。结果发现盈余公告后漂移现象在信息冲击后减弱，并且对于同期盈余公告较少、机构投资者比例较高、套利限制较低的企业，盈余公告后漂移减弱得更为显著。此外，公司财务报告的重大变化、分析师预测准确性的提升、机构投资者比例的增加以及套利限制的减少是盈余公告后漂移减弱的主要驱动因素。以上结论在国际层面上支持错误定价，尤其是有限关注理论对盈余公告后漂移现象的解释。

Post-Earnings-Announcement Drift in Global Markets: Evidence from an Information Shock

Hung Mingyi; Li Xi; Wang Shiheng

ABSTRACT

We investigate whether and how an exogenous and unprecedented improvement in non-U.S. firms' financial-reporting quality affects post-earnings-announcement drift (PEAD). We find that PEAD declines after the information shock, and this decrease is more pronounced for firms with fewer concurrent earnings announcements, greater institutional holdings, and lower limits to arbitrage. In addition, the decrease in PEAD is driven by firms with greater changes in financial reporting, an increase in analyst forecast accuracy and institutional ownership, and a decrease in limits to arbitrage. These findings support the mispricing explanation of PEAD, in particular the limited attention hypothesis, in an international setting.

原文链接：

http://rfs.oxfordjournals.org/content/28/4/1242

翻译：黄怡文