Journal of Financial Economics, Volume 127, Issue 3, March 2018

信息披露结构与收益因子结构

作者：Thomas Gilbert（University of Washington）

Christopher M. Hrdlicka（University of Washington）

Avraham Kamara（University of Washington）

摘要：本文建立模型研究了企业在不同日期发布信息如何导致CAPM失效，指出需要基于信息结构的额外因子来进行资产定价。我们使用季度收益公告来说明这种机制的实证相关性，该公告在规模和账面市场上按月分组。在四个主要的盈余公告月中，在纳入SMB和HML因子后，alpha会降低70%。信息结构因子完全解释了SMB和HML的季节性alpha降低，也能解释整体alpha降低的1/3。在控制公司规模和账面市值比后，SMB和HML的风险会随盈余公告月的不同而变化

The Structure of Information Release and the Factor Structure of Returns

Thomas Gilbert (University of Washington), Christopher M. Hrdlicka (University of Washington), Avraham Kamara (University of Washington)

ABSTRACT

We model how firms releasing information on different dates causes the CAPM to fail, requiring an additional factor based on the information structure to price assets. We exemplify this mechanism's empirical relevance using quarterly earnings announcements, which cluster across months along size and book-to-market. Seventy percent of the alpha reduction from including SMB and HML occurs in the four main earnings announcement months. The information structure factor accounts for all of SMB and HML's seasonal alpha reduction and one third of their overall alpha reduction. Controlling for size and book-to-market, exposures to SMB and HML vary with firms' earnings announcement month.

原文链接：

https://papers.ssrn.com/sol3/papers.cfm?abstract_id="2778824

翻译：黄涛