The Reaction of Stock Returns to News About Fundamentals

• 成果类型: Article
• 署名作者: Cenesizoglu, Tolga
• 署名单位: Universite de Montreal; HEC Montreal
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2013.1859
• 发表日期: 2015
• 页码: 1072-1093
• 关键词: Asset pricing; regime switching fundamentals; learning; asymmetric reaction; time-varying external signal precision; Good and bad times

摘要

In good times, stock prices react negatively to good news and positively to bad news, whereas in bad times, they react positively to good news and negatively to bad news. To account for this stylized fact, we consider an asset pricing model where the dividend growth rate switches between different values depending on the underlying state of the economy. Investors never observe the true dividend growth rate, but learn about it through not only its realizations but also external signals such as macroeconomic indicators. Under plausible assumptions, the differing precision of external signals across different states of the economy can change the sign of the market reaction to news from external signals in good and bad times.