线上销售、市场反应与未来股票收益Online Sales, Market Reaction and Future Stock Returns
王正位,崔向博,廖理
摘要(Abstract)：
本文基于A股市场的消费行业上市公司检验线上销售数据对未来股票收益的预测作用。研究发现，月度线上销售额的同比增长率能预测下个月的股票收益率，且基于线上销售额增长率构建的日历投资组合具有显著的超额收益。本文进一步实证分析了线上销售数据具有预测作用的两个条件：线上销售数据含有与公司经营业绩相关的信息、股票价格不能对这些信息及时反应。研究发现，线上销售额同比增长率能够显著预测公司营业收入的增长和盈利能力的变化，并且日历投资组合的收益率在组合构建后的第二周最高，即市场对线上销售信息的反应有滞后性。此外，本文也发现线上销售数据包含了影响股票定价的传统财务信息之外的新信息。本文的结论对于理解线上销售数据等另类数据在资本市场中发挥的作用和市场有效性具有重要意义。
关键词(KeyWords)： 线上销售数据;股票收益;市场反应;另类数据
基金项目(Foundation):
作者(Author): 王正位,崔向博,廖理
DOI: 10.16513/j.cnki.cje.20220408.002
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