投资学刘红忠

2. Data

3. Findings
A
Descriptive Statistics
b1 and b2 are 0.241 and 0.321 , significantly different The mean return difference for negative and zero UE firms, 1.18 percent, is larger than that for the positive and zero UE firms, 0.96 percent
This
paper examine whether the strength of firm-specific responses to new information is affected by the aggregate level of the market Relative and absolute definition of the level of the market : P/E
In
regime shifting models, relative price-toforecasted earnings measure captures changes in the discount rates applied to future earnings DIFFPE, the difference between the market P/E ratio during the announcement month and the average market P/E during the preceding 12 months.
E Other specification checks
interaction term like UE*SIZE, UEUP*SIZE and UEDOWN*SIZE Separate the sample into three size-based portfolios

4 Summary and concluding remarks
La
wk.baidu.com
Porta(1998): earnings announcement returns Skinner and Sloan(1999) BSV model: uncertainty is firm specific, but market wide effects also are possible; systematic shifts in investor sentiment
Individual
firms and market-wide effects Firm announcements Hypothesis that stock prices respond most strongly to bad news in good times Consistent with regime shifting models, the difference between bad news and good news response coefficients is increasing as the market level rises
1. Research Design
Examine
two hypotheses: the first is the market responds asymmetrically to unexpected good and bad earnings news in good and bad states
The
second hypothesis is the degree of asymmetry depends on the level of the market. Using DIFFPE and the sample of earnings announcement divided into quintiles
The
results fail to reveal any significant distinction between the behavior of value and glamour stocks.
D Nasdaq versus NYSE
W shape
The
Nasdaq coefficients are almost twice the magnitude of the NYSE coefficients
Regime
switching models: David(1997) and Veronesi(1999) Why the aggregate market can respond more strongly to bad news than good news in good times The uncertainty about the state of the economy causes an asymmetry in the response of good news and bad news
When Is bad News really bad News?
Jennifer Conrad; Bradford Cornell; Wayne R. Landsman JOF, Dec.,2002
Introduction
Value
and glamour stocks: Basu(1983) Stattman(1980) Fama and French (risk premium) VS LSV(1994) market fail to efficiently price BSV(1998): investor psychology, asymmetry
Findings
based on subsamples of Nasdaq and NYSE are broadly consistent

B Regression Results for DIFFPE Portfolios
C Value-Glamour
Glamour
stocks with historically high growth rates tend to become overpriced. When bad news finally reveals to investors the errors of their ways, the prices of glamour stocks fall sharply P/E ratios quintiles: the companies in the lowest quintile are the value stocks and companies in the highest quintile are the glamour stocks.