黎明前的疯狂:盈余公告前的投机泡沫——基于异常交易量的视角

Pre-dawn Madness:Speculative Bubbles before Earnings Announcements——Based on the Perspective of Abnormal Trading Volume

盈余公告是企业向市场传递基本面信息的重要载体。人们普遍关注盈余公告之后的市场变化,却忽视公告之前的异常交易行为。本文发现无论盈余公告是好消息还是坏消息,公告前存在异常高交易量的股票具有明显的投机特征,即公告前异常交易量越高预示着公告后收益越低。而且,股票的市场风险、非流动性和基本面信息不影响两者之间的负向关系,证实公告前异常高交易量是投机行为,与理性投资者的风险补偿无关。从市场、企业及投资者三个层面进行检验,发现市场情绪越高、公司信息环境质量越低、投资者意见分歧程度越大,盈余公告前的投机行为越疯狂。本文为从交易量角度理解投机行为以及监管部门识别市场操纵和稳定资本市场提供了参考。

Earnings announcement is an important carrier for enterprises to transfer fundamental information to the market.There was widespread concern about what happened to the market after the earnings announcement,but little attention was paid to the frenzied trading that had been brewing for so long.Our paper finds that whether the earnings announcement is good news or bad news,stocks with abnormally high trading volume before the announcement have obvious speculative characteristics,that is,the higher the abnormal trading volume before the announcement,the lower the return after the announcement.Moreover,the market risk,illiquidity and fundamental information of the stock do not affect the negative relationship between abnormally high trading volume and investment return,confirming that abnormally high trading volume before the announcement is speculative behavior and has nothing to do with the risk compensation of rational investors.From the characteristics of the market,enterprises,and investors,the higher the investor sentiment in the market,the lower the quality of corporate information disclosure and the greater the degree of investor disagreement,the crazier the market speculation before the earnings announcement.This paper provides reference for understanding the speculative behavior from the perspective of trading volume.It also can help regulatory identifying market manipulation and avoiding sharp market volatility.