Financial Management, Fall2016, Vol 45 Issue 3, p641-674.

盈余公告前公司债券的知情交易

作者：Jason Wei (Department of Management, University of Toronto), Xing Zhou (Federal Reserve Board)

摘要：本篇论文运用来自NAIC和TRACE的数据测算了盈余公告前公司债券交易的信息含量。我们发现公告前债券交易的方向与意外盈余密切相关。这一关系在负面信息公布前和在高收益债券上表现得尤为明显。进一步的，盈余公告前的异常债券交易有助于预测意外盈余和公告后债券回报。债券交易的预测能力很大程度来自机构规模交易，并且集中于发行者交易最为活跃的债券。最后，即使在考虑了交易成本后，知情的债券交易可以带来显著的净利润，尤其是在负面消息发布之前。

Informed Trading in Corporate Bonds Prior to Earnings Announcements.

Jason Wei (Department of Management, University of Toronto), Xing Zhou (Federal Reserve Board)

ABSTRACT

This paper examines the information content of corporate bond trading prior to earnings announcements using data from both NAIC and TRACE. We find that the direction of pre-announcement bond trading is closely related to earnings surprises. This link is most evident prior to negative news and in high-yield bonds. Further, abnormal bond trading during the pre-announcement period can help predict both earnings surprises and post-announcement bond returns. Such predictive ability of bond trading largely originates from institutional-sized trades and is concentrated in the issuer's most actively traded bond. Finally, even after accounting for transactions costs, informed bond trading can generate significant net profits, especially prior to the release of bad news.

原文链接：

http://onlinelibrary.wiley.com/doi/10.1111/fima.12123/abstract

翻译：孙雨琦