Aggregate Market Reaction to Earnings Announcements
研究发现盈利公告意外与总市场回报在公告期内呈负相关，表明市场参与者利用盈利信息调整对折现率的预期，且这种负相关在公告期后仍部分持续。
ABSTRACT This analysis identifies a distinct immediate announcement period negative relation between earnings announcement surprises and aggregate market returns. Such a relation implies that market participants use earnings information in forming expectations about expected aggregate discount rates and, specifically, that good earnings news is associated with a positive shock to required returns. Consistent with this interpretation we find that Treasury bond rates and implied future inflation expectations respond directly to earnings news. We also find some evidence that the negative relation between earnings news and market return persists beyond the immediate announcement period, suggesting that market participants do not immediately fully impound these future market return implications of aggregate earnings news.