Earnings Seasonality, Management Earnings Forecasts, and Stock Returns in China

Previous research finds that, owing to the representativeness heuristic bias, earnings seasonal rank negatively predicts stock returns surrounding earnings announcements (EAs) in China’s A-share markets. We examine whether management earnings forecasts (MEFs) help alleviate the stock return seasonality associated with earnings seasonality. Over the period 2010-2020, we find that, during a ten-day window surrounding MEFs, firms with seasonally lower earnings outperform firms with seasonally higher earnings by 1.88%. MEFs significantly reduce the ability of earnings rank to negatively predict market reactions, trading volume, and return volatility around EAs. The reduction effects are stronger when MEFs are voluntary or made closer to EAs. Our evidence collectively suggests that MEFs facilitate the correction of investor over-extrapolation of earnings seasonality and alleviate the earnings-induced stock return seasonality.YouTube video research review: https://youtu.be/bO_Bp9RmyfY管理层业绩预告有助于缓解盈利季节性的股市异象吗？现有研究发现，受代表性启发的认知偏差影响，A股投资者在盈利淡季会低估公司业绩，导致盈利季节性的股市异象：处于盈利淡季的股票在盈余公告期间会比处于旺季的股票获得更大的累计超额收益。如果管理层在盈余公告前发布业绩预告，能否有效地抑制投资者的非理性预期、降低盈余公告期间盈利季节性的股市异象？本文以2010至2020年A股上市公司为样本，分析发现：首先，A股市场在业绩预告期间也存在盈利季节性的股市异象。处于盈利淡季的公司在业绩预告前后5天比处于盈利旺季的公司平均可多获得1.88%的累计超额收益；其次，如果公司在盈余公告前发布业绩预告，能显著地抑制盈余公告期间盈利季节性对收益率、股价波动率和股票交易量的预测能力；第三，如果业绩预告是管理层的自愿而非强制行为、业绩预告与盈余公告的间隔时间越短，则业绩预告的抑制作用更明显。在更换盈利、盈利季节性、累计超额收益测度指标等一系列稳健性检验后，结论依然存在。表明管理层业绩预告能有效地降低投资者的非理性预期，提高股票定价效率。研究结果对市场建设和投资者决策均有一定的借鉴意义。