基于A股市场盈余公告效应的投资策略研究

发布时间：2018-03-18 08:31

本文选题：盈余公告效应　切入点：业绩预告　出处：《上海交通大学》2014年硕士论文　论文类型：学位论文

【摘要】：本文从业绩预告的角度对盈余公告效应进行了研究。首先将样本按照是否进行业绩预告分为业绩预告组和非业绩预告组，然后对这两组样本分别运用了Foster.Olsen和Shevlin(1984)的经典研究方法进行研究，即将业绩预告样本组和非业绩预告样本组按照其未预期盈余等级的高低分为十组，检验盈余公告后未预期盈余与超额收益的关系。本文的核心研究成果是发现业绩预告与超额收益的联系比正式报告与超额收益的联系更加密切。在业绩预告样本组中，所有组合的未预期盈余等级与超额收益都有正相关关系。而对于非业绩预告样本组，，这样的对应关系并不明显。并且对于相同的未预期盈余等级，业绩预告样本组中的相应组合超额收益也明显高于非业绩预告样本组中的相应组合。同时，市场对业绩预告中新信息的反应速度也慢于对正式报告中新信息的反应速度，给投资者留下了更大的盈利空间。所以，当投资者寻找超额收益时，应该更加关注进行业绩预告的公司所对应的股票。文章的后半部分基于前文的研究发现设计了一个交易策略，其基本原理是在有业绩预告的股票中选择拥有高未预期盈余等级的进行投资。使用过去十年的数据对该交易策略进行回测，得到了25%的年化收益。同时，较高的夏普比率与信息比率以及收益的高稳定性也证明了该交易策略值得机构投资者实施。
[Abstract]:In this paper, the effect of earnings announcement is studied from the perspective of performance forecasting. Firstly, the samples are divided into performance forecasting group and non-performance forecasting group according to whether the performance forecast is carried out or not. Then the two groups of samples were studied by using the classical research method of Foster.Olsen and Shevling 1984, that is, the sample group of performance forecast and the sample group of non-performance forecast were divided into ten groups according to their unexpected earnings grade. Examine the relationship between unanticipated earnings and excess earnings after earnings announcement. The core research result of this paper is to find that the relationship between performance forecast and excess return is more close than that between formal report and excess return. There is a positive correlation between the unanticipated earnings grade of all combinations and the excess return. But for the non-performance forecast sample group, the corresponding relationship is not obvious. And for the same unanticipated earnings grade, At the same time, the response speed of the market to the new information in the performance forecast is also slower than that to the new information in the formal report. So when investors look for excess returns, they should pay more attention to the corresponding stocks of the company that carries out the forecast. In the second half of this paper, we design a trading strategy based on the previous research. The basic principle is to invest in stocks with high unanticipated earnings grades among stocks with performance forecasts. Using data from the past decade to measure the trading strategy, we have achieved an annualized return of 25%. The higher Sharpe ratio to information ratio and the high stability of earnings also prove that the trading strategy is worth institutional investors.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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