Financial Analyst Journal, Volume67, Issue6, 2011

何时两种异象相遇：盈余惯性和价值/魅力股

作者：Zhipeng Yan (New Jersey Institute of Technology),

Yan Zhao (City College of New York)

摘要：盈余惯性和价值/魅力股异象研究发现，价值型股票的信息不确定性更大，对超额盈余的原始市场反应更弱，而且与魅力型股票相比，价值型股票的盈余惯性更好(更积极或较为消极)。基于这些发现的交易策略在不考虑交易成本的条件下，具有16.6%-18.8%的年平均异常收益。

When Two Anomalies Meet: The Post–Earnings Announcement Drift and the Value–Glamour Anomaly

Zhipeng Yan (New Jersey Institute of Technology), Yan Zhao (City College of New York)

ABSTRACT

This study of the post–earnings announcement drift and the value–glamour anomaly finds that value stocks have greater information uncertainty, exhibit more-muted initial market reactions to earnings surprises, and have better (more positive or less negative) post–earnings announcement drifts than do glamour stocks. A trading strategy based on these findings can generate an average annual abnormal return of 16.6–18.8 percent before transaction costs.

原文链接：

https://www.cfapubs.org/doi/abs/10.2469/faj.v67.n6.3

翻译：秦秀婷