流動性與盈餘公告後價格漂移研究

本文實證檢驗了流動性與盈餘慣性現象之間的關係。首先，壞消息具有更差的流動性，表明壞消息(低標準化未預期盈餘(SUE))的股票比好消息股票(高SUE)具有更大的不確定性，處於更高成本的資訊環境中。其次，盈餘慣性收益可以部分地解釋為流動性補償，換而言之，具有好消息的股票比壞消息股票對流動性更敏感。本文採用了CAPM以及Fama-French三因素方法，發現投資者並沒有對盈餘公告資訊作出及時和準確的反應，這在某種程度上表明，投資者對盈餘預期的高估在於採用了不恰當的定價模型。當流動性作為風險因素引入定價模型時，投資者的行為在某種程度上可以得到更好的解釋。
This paper investigates the relation between the post-earning-announcement drift anomaly and liquidity. First, I find that on average, bad-news firms (low standardized unexpected earnings, SUE) are less liquid than good-news firms (high SUE), which indicates that bad-news firms are subject to a more uncertain and costly information environment. Second, I find that PEAD can be partially interpreted as compensation for liquidity. Prior studies find that CAPM and Fama-French benchmark pricing model fail to adjust the risk premium. But when a liquidity factor is introduced into the pricing model, investors’ behavior could be better explained to some extent. Copyright © 2008 深圳證券交易所.