基于二元logistic回归模型的收入异动影响未来股票收益研究

On the Impact of Revenue Abnormal Variation on Future Stock Returns Based on the Binary Logistic Model

(1)收入异动公司下年实现利润高增长的概率大;(2)收入异动公司下年实现股票高收益的概率大;(3)利润高增长公司下年实现股票高收益的概率大,但利润高增长且收入异动公司下年实现股票高收益的概率更大;(4)股票高收益公司下年实现股票高收益的概率小,但股票高收益且收入异动公司下年实现股票高收益的概率变大。研究发现收入异动信息有助于预测未来股票高收益。

Firstly,higher revenue growth with improved profitability does predict higher future earnings growth; secondly,higher revenue growth with improved profitability does predict higher future stock returns;thirdly,higher earnings growth predicts higher future stock returns,but higher earnings growth with revenue abnormal variation experiences higher future stock returns with greater probability than other companies,and lastly,higher stock returns predict lower future stock returns,but higher stock returns with revenue abnormal variation experience higher future stock returns with greater probability than other companies.