Earnings seasonality, management earnings forecasts and stock returns

被引：0
|
作者：
Danling Jiang [1 ,2 ]
Pan Song [2 ]
Hongquan Zhu [2 ,3 ]
机构：
[1] College of Business, Stony Brook University
[2] School of Economics and Management, Southwestern Jiaotong University
[3] Service Science and Innovation Key Laboratory of Sichuan Province
来源：
China Journal of Accounting Research | 2023年 / 02期
基金：
中国国家自然科学基金;
关键词：
D O I：
暂无
中图分类号：
F275 [企业财务管理]; F832.51 []; F272.91 [企业领导];
学科分类号：
020204 ; 1201 ; 1202 ; 120202 ;
摘要：
We examine whether management earnings forecasts(MEFs) help reduce the stock return seasonality associated with earnings seasonality around earnings announcements(EAs) in Chinese A-share markets. We find that firms in historically low earnings seasons outperform firms in high earnings seasons by 2.1% around MEFs. Firms in low earnings seasons also have higher trading volume and return volatility than their counterparts around EAs and MEFs.MEFs significantly reduce the ability of historical seasonal earnings rankings to negatively predict announcement returns, volume and volatility around EAs. The reduction effects are stronger when MEFs are voluntary or made closer to EAs. The evidence suggests that MEFs facilitate the correction of investors’ tendency to extrapolate earnings seasonality and its resulted stock mispricing.
引用
收藏
页码：5 / 22
页数：18
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