盈余公告后债券价格反应对股票未来回报的预测研究

Study on the Predictive Ability of Bond Prices Reaction to Earnings Announcement Information for Future Stock Returns

本文研究了我国A股上市公司发布盈余公告后,债券价格反应对于关联股票未来回报的预测能力。研究发现,盈余公告前1日至后1日债券收益率的变动可以预测公告公布后窗口期为20日的股票持有超额累计回报;实证结果显示,这种预测能力不会因为盈余信息的好坏而存在显著的差异;最后基于似无相关模型SUR的检验后,发现上市公司的机构持股比例越低,债券价格反应对于股票回报的预测能力越强。本文研究表明,我国被富有经验的投资者所主导的债券市场中债券价格相对于股票价格会更迅速地吸收消化盈余公告信息。

This paper studies the ability of bond price response to predict the future return of related stocks after China's A-share listed companies publish earnings announcements. The study finds that the change in bond yield of a day before or later the earnings announcement can predict the excess cumulative return of stocks with a window period of 20 days after the announcement. Furthermore,the empirical results show that this predictive ability will not be significantly different because of the good or bad earnings information. Based on the test of SUR model,it is found that the lower the institutional shareholding ratio of the listed company, the stronger the forecasting ability of the bond price response for stock returns. This paper suggests that the bond price in the bond market dominated by experienced investors in China will absorb the digested earnings announcement information more quickly than the stock price.