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讲座预告 | 盈余冲击,价格反应与卖空行为

发布时间:2021-04-22    来源:



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张华教授现为香港中文大学金融系教授,兼金融硕士项目主任。他的主要研究兴趣是投资、资本市场、公司金融、固定收益和衍生证券。他在金融与经济期刊上发表了20多篇论文,在国际会议上获得了5个最佳论文奖项,曾/现任5个金融期刊的编委委员/副主编。张教授在BBAMBAEMBAMPhil / PhD以及高管培训课程中拥有丰富的教学经验,已获得8项工商管理学院教学奖。


Above (below) consensus earnings forecasts by financial analysts are often considered as good (bad) news in the accounting and finance literature. In this paper, we first document that, in about one third of our sample, earnings surprises and corresponding market price changes are of opposite signs during the announcement period. Using the shorting data from the Regulation SHO pilot program from January 2005 to July 2007 period, we then investigate how short seller behave when earning shocks and corresponding market price responses are of opposite signs. We find shorting intensity is significantly higher for the cases of negative earnings surprises accompanied with positive returns than for the instances of positive earnings surprises associated with negative returns, after carefully controlling other short-selling determinants documented in the literature. The findings are consistent with the notion that short sellers are sophisticated investors who can take advantage of possible misvaluation during the earnings announcement period.


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