THE JOURNAL OF FINANCIAL ECONOMICS· VOL.124, ISSUE.1 · APRIL 2017

信息冲击和短期市场反应不足

作者：George J. Jiang (Washington State University), Kevin X. Zhu (Xian Jiaotong-Liverpool University, Hong Kong Polytechnic University)

摘要：我们使用股价跳跃作为信息冲击的代理变量，为美国股票市场的短期反应不足提供了证据。通过买入（卖空）正向（负向）滞后股价跳涨的股票，我们能在接下来的一到三个月赚取显著为正的收益。基于日内股价跳跃，特别是隔夜股价跳跃的分析为市场反应不足提供了进一步的证据。在控制了其他公司特征之后，市场反应不足的结论依然稳健。市场反应不足将股票收益的动量现象从中期拓展到了短期，并且捕捉了市场对信息冲击的反应不足超过盈余动量效应。我们进一步证明了投资者的有限注意力会造成市场短期反应不足。

关键字：信息冲击，短期反应不足，股票回报动量，盈余公告效应，有限投资者注意力

Information Shocks and Short-Term Market Underreaction

George J. Jiang (Washington State University), Kevin X. Zhu (Xian Jiaotong-Liverpool University, Hong Kong Polytechnic University)

ABSTRACT

Using jumps in stock prices as a proxy for large information shocks, we provide evidence consistent with short-term underreaction in the US equity market. Strategies long (short) stocks with positive (negative) lagged jump returns earn significantly positive returns over the next one- to three-month horizons. The results based on intraday jumps, especially overnight jumps, provide further evidence consistent with underreaction. The underreaction is robust to controlling for other firm characteristics, extends stock return momentum over intermediate to short horizons, and captures market underreaction to information shocks beyond earnings surprises. We further show that limited investor attention contributes to short-term underreaction.

Keywords: Information shocks, Short-term underreaction, Stock return momentum, Earnings announcement effect, Limited investor attention

原文链接：

http://www.sciencedirect.com/science/article/pii/S0304405X16302409

翻译：吴雨玲