“学海拾珠”系列之二百三十五：新闻公告与短久期溢价
敬请参阅末页重要声明及评级说明执业证书号：S0010522090001执业证书号：S0010520070001“学海拾珠”系列之二百二十九》 证券研究报告 2/23正文目录1引言......................................................................................................................................................................................................42文献综述..............................................................................................................................................................................................63数据和实证研究.................................................................................................................................................................................73.1利用新闻公告进行实证识别....................................................................................................................................................73.2数据..............................................................................................................................................................................................73.3描述性统计..................................................................................................................................................................................84新闻公告时的期限溢价.....................................................................................................................................................................94.1新闻公告的重要性.....................................................................................................................................................................94.2无条件日度证据.......................................................................................................................................................................105实证结果............................................................................................................................................................................................115.1现值分解....................................................................................................................................................................................115.2盈余惊喜....................................................................................................................................................................................125.3宏观新闻....................................................................................................................................................................................206结论....................................................................................................................................................................................................21风险提示：.............................................................................................................................................................................................22 敬请参阅末页重要声明及评级说明证券研究报告 3/23图表目录图表1文章框架...........................................................................................................................................................................................................4图表2久期组合的描述性统计...............................................................................................................................................................................9图表3新闻公告溢价的重要性............................................................................................................................................................................10图表4新闻公告日的无条件超额收益..............................................................................................................................................................11图表5盈利预测惊喜的面板回归.......................................................................................................................................................................14图表6期限组合的摩擦和错误定价的代理指标...........................................................................................................................................14图表7盈利新闻发布前后预期长期股息增长率的变化与盈利公告期间的期限溢价......................................................................15图表8错误定价变化对期限变化的面板回归................................................................................................................................................16图表9盈余惊喜对期限变化的面板回归.........................................................................................................................................................17图表10期望股息增长对期限变化的面板回归.............................................................................................................................................18图表11控制因子暴露后的盈利公告回报.......................................................................................................................................................19图表12新闻公告日的无条件债券超额回报...................................................................................................................................................20图表1
