未预期收入与股票回报的关系研究——基于2005-2011年中国A股上市公司的经验数据

The Relations between Unexpected Revenue and Stock Returns—Based on the Data of A - Share Listed Firms of China in 2005-2011

盈余主要可以分为由收入驱动和费用驱动两种类型,不同的驱动要素对盈余持续性的影响不同。文章从盈余的结构构成项目—收入入手,考察了未预期收入与盈余持续性和股票超额收益之间的关系。在对未预期盈余变量进行控制后,发现有较高未预期收入的股票,在盈余公告窗口期有显著的超额报酬;由未预期收入增长推动的未预期盈余增长会引起较大的盈余公告后股价变动效应。

Earnings growth can be driven by revenue growth and expense reduction,but different driven factors exhibit different levels of persistence.This paper analyzes the information conveyed by revenues and examines the relations between unexpected earnings and the persistence of earnings growth and abnormal returns.After controlling over the unexpected earnings,we find the significant abnormal returns in the post - announcement period for stocks that have large unexpected revenue.What’s more,we find that unexpected earnings that are accompanied by unexpected revenue will arouse more post - announcement returns for stocks than similar levels.