《The Power of Firm Fundamentals in Explaining Stock Returns》


报告摘要: Prior literature shows that earnings have come to explain less stock price movement over time, suggesting that firm fundamental information has become less important. In this paper, we replace earnings with earnings announcement returns as a measure of firm fundamental news and find that these firm fundamentals have come to explain more price movement over time. In the years after 2003, earnings announcement returns explain roughly 20% of the annual return—almost twice as much as they did before, indicating that fundamental information has become more important, not less, in explaining stock returns. This pattern occurs for other forms of firm fundamental information. Collectively, the returns around earnings announcements, management guidance, analyst forecasts, analyst recommendations, and 8-K filings went from explaining 17% of annual returns on average in the late 1990s to 39% on average in the early 2010s. In exploring possible explanations for the increase in the explanatory power of fundamental information, we find evidence consistent with regulatory changes, such as new 8-K filing requirements and Sarbanes-Oxley, collectively making disclosures more informative.

时间:10月20号,2:00 pm -5:00 pm




邵帅,博士,2016年加入浙江大学管理学院,于复旦大学取得博士学位,同时是复旦大学与耶鲁大学联合培养博士,本科毕业于浙江大学。邵帅博士的研究方向为会计与资本市场、财务信息披露与股权结构,研究成果发表在国际顶级期刊《Review of Accounting Studies》与中文权威期刊《管理世界》、《会计研究》上。她主持了一项国家自然科学基金青年基金,参与主持多项国家自然科学基金项目。她承担了本科和研究生多门课程的教学,擅长财务会计课程的理论和案例教学,获得2019年浙江大学青年教师教学技能竞赛一等奖。



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