光华讲坛

主题：Anomalies, Management Expectations, and Stock Returns 市场异象、管理层预期和股票收益

主讲人：Dexin Zhou Baruch College, CUNY

主持人：西南财经大学会计学院 李彦

时间：2022年3月22日（周二）10:00—11:30

地点：腾讯会议：983-044-7835

主办单位：会计学院 科研处

主讲人简介：Dr. Dexin Zhou is currently an Assistant Professor of Economics and Finance at Baruch College, City University of New York. His work examines the roles of media, social networks, and institutional investors in financial markets. His research has been published in top finance and accounting journals, including Journal of Financial Economics, Review of Financial Studies, and Accounting Review, and mentioned by Wall Street Journal, The Economist, Financial Times, and Harvard Forum Law School Forum on Corporate Governance. He obtained a Ph.D. in Finance from Emory University and a BA in Mathematics from Bard College.

周德馨博士现任纽约市立大学巴鲁克学院经济与金融系助理教授。周德馨博士的主要研究领域为媒体，社交网络，以及机构投资者在金融市场中的作用。他的研究成果曾发表于国际顶级金融和会计学期刊，包括《金融经济学期刊》，《金融研究评论》，以及《会计评论》，并被《华尔街日报》，《经济学人》，《金融时报》，以及《哈佛法学院公司治理论坛》等国际知名媒体引用。他于巴德学院获得数学学士学位，并从艾默里大学获得金融学博士学位。

摘要：We investigate the extent to which managers incorporate public information in their earnings expectations and its implications for capital market efficiency. We find that management earnings forecasts are biased upward (downward) for stocks that are over-valued (undervalued) based on anomaly signals. On average, these biases are more severe than those in consensus analyst forecasts. Anomaly returns are higher (lower) when managers issue forecasts that update the market in the direction that is consistent (inconsistent) with the anomaly information. This return difference is about two percent in the month after anomaly portfolio formation and persists for over 12 months. Consistent with managers' biases exacerbating anomaly-related mispricing, the return difference is more salient during high sentiment periods and when there are firm news events.

本文研究管理者在设定盈利预期时是否考虑公共信息及其对资本市场有效性的影响。研究发现估值过高（过低）公司的管理者倾向于高估（低估）公司的预期盈利。平均而言，管理者的估计偏差要高于分析师的预测偏差。当公司的管理者发布的盈利预期与基于市场异象信号的估值方向一致时，基于市场异象的套利投资组合收益更高。反之，则更低。持有套利组合的第一个月，收益差值可达到2%，并持续超过12个月。该差值在投资者情绪较高和由公司新闻发布时更高，这一现象说明管理者预期偏差增大了基于市场异象的估值错误。