Journal of Portfolio Management, Summer 2016, v. 42, iss. 4, pp. 88-95

恐惧和贪婪：盈余公告时期基于回报率的交易策略

作者：Ivo Ph. Jansen (Rutgers University in Camden), Andrei L. Nikiforov (Rutgers University in Camden)

摘要：这篇文章证明了盈余公告能够验证市场短期内由恐惧和贪婪驱动的价格走势。那些在盈余公告前一周有极大超额收益的股票在盈余公告时期内将出现强烈的价格反转现象。基于作者的发现，一个利用该反转现象的交易策略在最近42年中有40年能够获利，并且可以在两天的窗口期中获得超过1.3%的超额收益。

Fear and Greed: A Returns-Based Trading Strategy around Earnings Announcements

Ivo Ph. Jansen (Rutgers University in Camden), Andrei L. Nikiforov (Rutgers University in Camden)

ABSTRACT

This article documents that earnings announcements serve as a reality check on short-term, fear- and greed-driven price development. Stocks with extreme abnormal returns in the week before an earnings announcement experience strong price reversals around the announcement. Based on the findings of the authors, a trading strategy that exploits this reversal would have been profitable in 40 of the last 42 years and earned abnormal returns in excess of 1.3% over a two day-window.

原文链接：http://www.iijournals.com/doi/full/10.3905/jpm.2016.42.4.088

翻译：吴雨玲