Capital Investment Decision Mechanism Research Of Earing Momentum

In the stock market at domestic and overseas,there is a significant equity cross sectional anomaly,which is stock portfolios with higher unexpected surprising earnings(SUE)have higher return in the next year after post-earnings announcement.The majority of researchers try to explaining the anomaly by various aspects,such as rational risk pricing model and behavior of irrational investors.Rational risk pricing model claims that higher return is caused by higher risk premium in the efficient markets.If the model can fully capture the risk of assets,asset pricing model can reasonably to price the assets.From the perspective of irrational investor behavior,investors of anomalous behavior will affect stock returns after post-earnings announcement.And investors' psychological bias and degree of reaction to post-earnings announcement is closely related to stock returns.However,research at domestic and overseas on how to form the differences of SUEs with different firms is absent relatively.This paper applies Investment-based pricing theory to build the investment decision model,trying to explore the main factors which influence the changes in unexpected earning.And study the inner mechanism of the driving the difference of firms' earnings growth rate,as well as the decision mechanism of stock expected return.Using generalized matrix method to estimate unknown parameters in the model,and measure the expected stock return in Investment-based pricing model.Compared with the real stock returns,the interpretation of the model ability is good.Research from the perspective of listed firms' capital investment qualities in post-earnings announcement momentum phenomenon,this paper explore the main factors influencing the changes of unexpected earning,and explains the stock returns in different groups.What's more,it analyses how the investment behavior of listed firms affect stock returns.Furthermore,according to the classification samples of industry,this paper studies the post-earnings announcement momentum in each industry to test the industry factor.The empirical results of this paper find that portfolios with different SUEs have different characters.First,according to analyses the relationships between characters on investment and SUEs with highs-lows,this paper find that low growth rate of investment-to-capital ratio,high growth rate of marginal capital output and low growth rate of marginal capital value with debt leverage are the main reasons of high SUEs.Second,according to analyses portfolios with different characters on investment,this paper find that portfolios with high SUEs have high capital marginal profits and obtaining higher profits when firms increase each additional unit of capital,then the return on investment will be higher.Portfolios with high SUEs have high growth rate of capital marginal values,which results of high capital gains and firm's return on investment.According to returns on investment equal to returns on stock in the q theory of investment,firms with high SUEs have high returns on stock,consequently.According to the empirical results in industry segments,it shows that post-earnings announcement momentum almost exist in all industry.The stock return of sample group with high unexpected earning is higher than sample group with low unexpected earning.The investment characteristics also show significant group differences.The post-earnings announcement momentum has nothing to do with the industry,and it exists in every industry.The post-earnings announcement momentum in industry can be explained by the company investment characteristic variable.