Expectation Errors Of Performance And Stock Returns

It is normal for the stock price to rise and fall due to the huge transaction in the s tock market.However,the rise and fall of some white horse stocks makes investors be gin to pay attention to performance expectations.The rise and fall of white horse stoc ks is caused by the performance exceeding expectations and the performance is not u p to the standard,which makes performance expectations receive more and more atten tion.The rise and fall of stock prices caused by performance expectations will naturall y affect stock returns.Therefore,this paper studies expectation errors of performan ce and stock returns.Article using the Shanghai and shenzhen A shares in 1996-2020 transaction data and financial data of listed companies,with book value than marke t expectations,scores on financial index score of FA and entropy value method to get t he comprehensive score SFA scores to measure fundamental performance expectation s,according to the market performance index and fundamental performance expectati ons index double sorted groups,identify sample companies with expectation errors o f performance,form an investment portfolio and hold it for a period of time,and obs erve the stock returns of the stock portfolio with expectation errors of performanc e.And construct the long-short portfolio through the portfolio of expectation errors o f performance and analyze the excess return of the portfolio of expectation errors ofperformance.After the empirical analysis in Shanghai and shenzhen A stock markets,this pape r draws the following conclusions :(1)when the market performance expectation is in consistent with the fundamental performance expectation,that is,the stock portfoli o with expectation errors of performance can obtain significant stock returns;(2)Th e long-short investment strategy constructed through expectation errors of performa nce can obtain significantly positive excess returns,while the long-short investment st rategy whose market performance expectations are consistent with the fundamental pe rformance expectations has close to zero and insignificant returns;(3)The excess retu rn of the long-short portfolio with expectation errors of performance is greater than t hat of the long-short portfolio constructed only according to the book-to-market rati o;(4)Whether the FA score by scoring ranking method or the SFA score comprehensi vely evaluated by entropy method represents fundamental performance expectation,th e empirical results after double ranking are consistent,that is,portfolios with expectati on errors of performance can achieve significant stock returns;(5)The regression a nalysis results of the excess return of the long-short portfolio and multiple asset pricin g models show that the pricing error exists significantly and is positive,indicating tha t the asset pricing model can not fully explain the excess return of the long-short portf olio,and the excess return can be obtained by constructing the hedge portfolio of the d ifferential.Finally,based on the results of empirical analysis in this paper,the paper i s summarized and relevant suggestions are put forward according to the research conc lusions of the paper.Market should improve the information disclosure system and i mprove information asymmetry,investors need to more sensitive to information an d enhance the ability to filter information.