股市投资者对盈余公告的反应——基于博彩偏好的视角

doi:10.16381/j.cnki.issn1003-207x.2019.2000

Abstract

Abstract: How the gambling preference influences the reactions of investors to earnings announcements is investigated by employing Chinese stock market's data from the first quarter of 2003 to the first quarter of 2018.
For each stock, three kinds of gambling index are constructed to measure the gambling characteristics. The buy-and-hold abnormal returns are used to measure the reactions of investors to earnings announcement.Conventionally, SUE (standardized unexpected earnings) are constructed for each earnings announcement.
The event study is utilized to explore the role of gambling preference in affecting the investors' reactions to earnings announcements. The regressions results reveal that the interaction of gambling index and positive SUE is significant and positve, while the interaction of gambling index and negative SUE is significant and negative. The empirical results prove that gambling preference has two opposite effects at the same time. That is, gambling preference increases the sensitivity of investors to positive unexpected earnings while it slows down the speed at which negative unexpected earnings information is incorporated into the stock price.
Subgroup regressions are performed after the total sample is divided into two subsamples according to theprofit/loss condition of investors, median of investor sentiment index and institutional ownership respectively. The interaction of gambling index and positive/negative SUE is not significant any more when investors are at the profit condition. Besides, the interaction of gambling index and positive/negative SUE is no longer significant during the pessimistic period. In addition, the interaction of gambling index and positive SUE is not significant when a firm has more retail investors. This phenomenon suggests that profit/loss condition, investor sentiment and institutional ownership indirectly influence the reactions of investors to earnings announcements by affecting the asymmetric V-shaped disposition effect.
Finally, several robust checks are conducted. When the profit/loss condition is constructed by past five-year data, or when the investor sentiment is measured by other indicators, or when the event window is extended, our conclusions remain the same and robust.

Key words: reactions to earnings announcement, gambling preference, investor sentiment, profit/loss condition, institutional ownership

CLC Number:

F830.91

CHEN Wen-bo, CHEN Lang-nan. Reactions of Stock Investors to Earnings Announcements——A Perspective from Gambling Preference[J]. Chinese Journal of Management Science, 2021, 29(9): 1-11.

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Reactions of Stock Investors to Earnings Announcements——A Perspective from Gambling Preference

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