会计系学术讲座系列2021年第22讲

主 题：Naive Earnings Growth Extrapolation

主讲人: 崔宸瑜（对外经济贸易大学助理教授）

协调人: 汝毅

时 间：2021-12-08 09:30

地 点：明商706会议室

语 言：中文

讲座摘要:

Exploiting the unique financial reporting format in China, we document that stocks with the strongest past year-to-date earnings growth experience a significant price run-up of 1.2% during the five trading days before their quarterly earnings announcements and a significant return reversal of -1.35% in the five trading days afterward. This inverted V-shaped pattern on cumulative return spreads is more pronounced among smaller firms with lower institutional ownership and fewer analyst coverage, and it is less pronounced among foreign B-share. Consistent with investor excess demand driving the price run-up, we find retail investor sentiment and buy-sell order imbalance rise ahead of earnings announcements for firms with high past earnings growth. Our findings support models of fundamental extrapolation and suggest investors naively extrapolate the salient but not-so-informative year-to-date earnings growth when forming expectations about the upcoming earnings.

主讲人简介:

崔宸瑜，博士，对外经济贸易大学国际商学院会计学系讲师，主要关注会计信息、股票市场与行为金融的交叉研究，研究成果发表在Journal of Banking & Finance, 管理世界、金融研究、会计研究、南开管理评论等国内外知名学术期刊，博士论文获2019年杨纪琬会计学奖。