Deviation between Individual Unexpected Earnings and Industry Unexpected Earnings and Equity Pricing: Psychological Biases or Risk Premium?

公司未預期盈餘和產業未預期盈餘之離差與股票訂價：心理偏誤或風險補償？

余歆儀(Hsin-Yi Yu) ； 李冠樺(Kuan-Hua Lee) ； 雲慕書(Mu-Shu Yun)

《財務金融學刊》 27卷2期 (2019/06) Pp. 33-74

https://doi.org/10.6545/JFS.201906_27(2).0002

摘要

We investigate the use of unexpected earnings surprises within an industry for a benchmark in the cross-sectional pricing of stocks. The results demonstrate that the deviation between unexpected earnings of an individual company and of the overall industry is positively related to future expected returns. The risk-adjusted return on the zero-investment portfolio based on such deviation achieves 1.56% monthly. The risk-adjusted returns are possibly attributable to underreaction caused by limited attention. Furthermore, investors exhibit complex responses to surprises; they respond to an individual company's time-series earnings surprises and compare a company's earning with its peers and respond to cross-sectional surprises.

關鍵字

Post-earnings-announcement drift ； standardized unexpected earnings ； industry ； underreaction ； limited attention

並列摘要

過去研究發現公司未預期盈餘能預測未來股票報酬，本研究納入產業因素，發現投資人對於個別公司的未預期盈餘、個別公司未預期盈餘與所屬產業未預期盈餘的偏離程度均有反應。根據偏離程度所構建之零投資組合，平均風險調整後月報酬為1.56%，此報酬無法被既有的報酬預測變數所解釋，可能肇因於投資人注意力有限所造成的反應不足。

並列關鍵字

盈餘宣告後股價持續反應 ； 標準化未預期盈餘 ； 產業 ； 反應不足 ； 注意力有限

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