Journal of Financial Economics, Volume 118, Issue 2, November 2015, Pages 383-398, ISSN 0304-405X ，November 2015

盈余公告前流动性交易的不对称减少和盈余公告溢价

作者：Shai Levi（School of Management- Tel Aviv University），Xiao-Jun Zhang（Haas School of Business-UC Berkeley）

摘要：投资者不愿在信息高度不对称的盈余公告前几天做交易。我们证明了公告前流动性交易的减少是不对称的。具体来说，我们分析了被动投资策略下投资者的买卖指令，发现投资者在盈余公告前卖出量的减少不如买入量减少得多。对流动性有需求的投资者会在公告前以相对公告后价格的折价卖出股票，这些发生在公告前、为得到流动性而发生的卖出操作是最终平均正回报率的重要驱动力，平均正回报率可以理解为刻画盈余公告期间风险的回报溢价。

关键词：盈余公告溢价，流动性

Asymmetric decrease in liquidity trading before earnings announcements and the announcement return premium

Shai Levi (School of Management-Tel Aviv University), Xiao-Jun Zhang (Haas School of Business-UC Berkeley)

ABSTRACT

Investors are reluctant to trade in the high-information-asymmetry days before earnings announcements. We show that the decrease in liquidity trading before announcements is asymmetric. We analyze buy and sell orders of investors with passive investment strategies, and find they do not reduce their sales as much as their purchases in the days before announcements. Investors needing liquidity sell stocks at a discount relative to the post-announcement price, and these preannouncement liquidity sales are a significant driver of the average positive returns, or return premium, known to characterize announcement days.

Keywords：Earnings announcement premium; Liquidity

原文链接：http://www.sciencedirect.com/science/article/pii/S0304405X15001427

翻译：吴雨玲