如何衡量收益惊喜:基于经过修订的市场反应
1Institute of Chinese Financial Studies & School of Finance, Southwestern University of Finance and Economics, Chengdu, China.
PloS one
|December 22, 2023
概括
这项研究引入了对收益惊喜的修订后的市场反应,证明同一侧失败率 (FOM) 是一个优越的衡量标准. 基于FOM的策略优于传统方法,反映了投资者对收益修正的准确反应.
科学领域:
- 金融 金融 金融 金融 金融
- 财务会计 财务会计 财务会计 是一种
- 市场微观结构 市场微观结构
背景情况:
- 现有的文献表明,财务异常可以在收益公告期间扭曲累积异常回报 (CAR).
- 建议修订市场反应,以更准确地反映投资者对收益修正的反应.
研究的目的:
- 为了研究收益的稳定性,使用修订后的市场反应来研究意外措施.
- 引入和验证同一侧失误率 (FOM) 作为优质收益惊喜指标.
- 将基于FOM的策略与传统方法的性能进行比较.
主要方法:
- 开发了一种创新的CAR调整,其中包含了股票价格的跳跃.
- 在经验上验证了同一侧失误率 (FOM) 作为收益惊喜指标的比例.
- 分析了投资者交易模式和后利公告偏移 (PEAD) 策略.
主要成果:
- 经过修订的市场反应更准确地反映了投资者对收益修正的反应.
- 与传统方法相比,同一侧失误率 (FOM) 是收益惊喜的更高的衡量标准.
- 基于FOM的后利公告偏移 (PEAD) 策略表现优于基于分析师预测错误的策略.
结论:
- 同一侧的失误率 (FOM) 提供了更强大,更准确的收益惊喜指标.
- 经过修订的市场反应模型提高了对收益公告后投资者行为的理解.
- 基于FOM的交易策略提供了一种更有效的方法来捕获后利公告漂移.
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