股票类型、研发强度与盈余公告股价漂移
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作者刘敏
出版社经济科学出版社
ISBN9787521811568
出版时间2020-08
装帧平装
开本16开
定价23元
货号11031044
上书时间2024-01-08
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作者简介
中南财经政法大学教师，研究领域为国际贸易，期货、期权与其他衍生品投资，国际经济学(英文)，商务英语函电(英文)，电子商务(中文，英文)，网络营销，产业经济学，商务谈判，网络经济学等。
目录
Chapter 1 Introductio
Chapter 2 Literature Review
2．1 Introduction
2．2 Model Misspecification as an Explanation of Drift
2．3 Delayed Response as an Explanation of Drift
2．4 Firm-Specific Attributes Affecting the Dynamics of Drifts
Chapter 3 Research Design and Data
3．1 Standardized Unexpected Earnings（SUE）
3．2 Earnings Surprise
3．3 Cumulative Abnormal Returns
3．4 Control Variables
3．5 Sample Selection
Chapter 4 Empirical Results
4．1 Main Analysis
4．2 Robustness Checks
Chapter5 Conclusion
References
精彩内容
It has long been documented that stock prices tend to act differently surrounding earnings announcements. The post-earnings announcement drift is the phenomenon that a stock's cumulative abnormal returns tend to drift in the direction of a recent earnings surprise for several weeks or even months following a public earnings announcement. That is, the estimated abnormal returns continue to drift up after the release of earnings reports with positive forecast errors, and drift down after the release of earnings reports with negative forecast errors. Furthermore, there is evidence that the magnitude of the drift is correlated with the magnitude of the earnings surprise.
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