THE JOURNAL OF FINANCE ? VOL. LXXI, NO. 1 ? FEBRUARY 2016

盈余公告与系统性风险

作者：Pavel G. Savor, Mungo Ivor Wilson

摘要：公司计划发布盈余公告，可以获得9.9%的年化超额收益率。对这一现象，我们提出了一个基于风险的解释，即投资者使用盈余公告修正他们对未发布盈余公告公司的预期，但这样的预期是不完全的。因此，公司层面和市场层面现金流信息的协方差在公告发布前后剧增，使得公告发布者面临更大的风险。与本文的假设一致，公告公司的股票收益可以预测市场总的盈利。公告溢价在股票横截面上持续存在，且早（晚）公告的公司可以获得更高的（低）回报。未公告公司对公告的反应在时间序列与横截面上均与我们的模型相符。最后，本文为盈余公告风险进行了定价。

关键词：风险溢价，盈余，公告

Earnings Announcements and Systematic Risk

Pavel G. Savor, Mungo Ivor Wilson

ABSTRACT

Firms scheduled to report earnings earn an annualized abnormal return of 9.9%.We propose a risk-based explanation for this phenomenon, whereby investors use announcements to revise their expectations for nonannouncing firms, but can only do so imperfectly. Consequently, the covariance between firm-specific and market cash flow news spikes around announcements, making announcers especially risky. Consistent with our hypothesis, announcer returns forecast aggregate earnings. The announcement premium is persistent across stocks, and early (late) announcers earn higher (lower) returns. Nonannouncers’ response to announcements is consistent with our model, both over time and across firms. Finally, exposure to announcement risk is priced.

Keywords: Risk Premia, Earnings, Announcements

原文链接：https://www.researchgate.net/publication/228172045_Earnings_Announcements_and_Systematic_Risk

翻译：任兆月