Prediction Of Bond Prices And Stock Returns After Earnings Announcement

With the rapid development of the financial market,the coordination between the markets plays an important role in the macro-economy of our country,among which the bond market and the stock market play a decisive role in the allocation of resources.According to the expectation of effective market hypothesis,when the enterprise reports its own operation and financial status to the market through earnings announcement,investors interpret and analyze it according to its public earnings announcement information and make investment decisions.In the stock market,a large number of scholars have found the existence of earnings announcement effect,when the company issued a earnings announcement,investors did not immediately respond to and absorb the information in the earnings announcement,and investors will gradually absorb it over time closing,stock prices will gradually contain all earnings information and then gradually close to its true value.Compared with the stock market dominated by individual investors(retail investors),the bond market in our country is mainly dominated by institutional investors,and there are fewer individual investors.However,institutional investors have more abundant investment resources and more specialized investment teams than individual investors,so the bond market will digest the information more quickly in the announcement of absorbing earnings,and the bond price will be closer to its real price,then the bond price.Then the absorption and adjustment process of bond price should have a certain reference and prediction effect on the stock price adjustment process after announcement,therefore,this paper will carry on the empirical research to this kind of prediction ability.This paper discusses the effect of bond price reflection on stock return forecast of 30 days after announcement during earnings announcement period(day-1,day 0 and day 1)by interpreting and combing relevant literature,combining theory and demonstration.First of all,using the normative research method,the paper analyzes the domestic and foreign bond market to the accounting information response,the stock market surplus announcement effect related topic literature research,leads to this article to study the content.Then adopt the event research method,take the earnings announcement day as the event day,choose the Shanghai and Shenzhen A-share listed company from 2008 to 2018 as the sample,carry on the screening,establish the multivariate regression to carry on the research.Finally further study impact of different institutional shareholding ratios and bond liquidity levels on their predictive ability.Through empirical research,the following conclusions are obtained:(1)the bond yield from the first day(1st day)to the next day(1st day)of the earnings announcement can predictthe stock return of 30 days after the announcement;(2)and the lower the shareholding ratio of the institutional investors in the company,the stronger the prediction ability of the bond yield to the stock return after the announcement during the earnings announcement.Conversely,the higher the proportion of the institutional investors,the weaker the forecast ability of the bond price.(3)In a bond with higher liquidity,the ability of the bond yield to predict future stock prices during the announcement period will be enhanced as bond liquidity increases;in the case of liquidity Low-level bonds did not find a significant predictive effect.Based on the conclusion of the research,this paper puts forward the corresponding policy recommendations,research limitations and future research development direction.the research in this paper not only helps investors to integrate relevant information more quickly to adjust investment decisions and obtain investment returns,but also helps the market monitor the financial information disclosure of enterprises,alleviate the phenomenon of information asymmetry,and promote the healthy and sustainable development between markets.