Can The Fund Predict The Quarterly Information Of Stocks?

For fundamental investors like securities investment funds,the quarterly report issued by the stock is undoubtedly one of the most important sources of market information,and it is also the most important information when conducting securities investment research and forecasting.Undoubtedly,the ability to predict financial and operational information in the quarterly report of the stock is an important part of the fund's investment ability.So does the securities investment fund have the ability to predict the quarterly information of its holding stocks,especially the accounting surplus? What kind of fund has the ability to predict stock quarterly information? Is the investment trading behavior of the fund before the release of the quarterly report based on the forecast results of the quarterly report?The quarterly report information of stocks,including the financial information and business information of listed companies,has always been an important source of information for the securities market to study the company's operating conditions,so the information also significantly affects the market performance of its quarterly report.Since listed companies and securities analysts will predict the important financial operation information in the quarterly report before the release of the quarterly report,this kind of earnings forecast has great uncertainty,and the resulting error between the actual accounting surplus and the forecasted surplus becomes Unexpected earnings of stocks.By forecasting the important information in the quarterly report,especially the accounting earnings information,investors can grasp the important information such as the unanticipated earnings in the quarterly report,so that they can obtain excess returns when the stock issues quarterly reports,or find early sales information that is less than expected in advance to avoid risks.Therefore,starting from the investment trading behavior of active funds,this paper divides the stocks of fund trading into two groups: increasing and reducing the holdings.Through empirical research and compare the abnormal yield of the sample stocks in the time window when the quarterly report is released to determine whether the active fund has a certain predictive ability for the quarterly information of its position stocks,especially the accounting earnings information,to supplement the research on the fund's investment ability.At the same time,this paper also compares the sample stocks according to the different characteristics of the fund,and introduces the fund's characteristic variables,the financial and business information variables in the stock quarterly report,the market valuation variables and the fund holding variables to further study the Influencing factors of information forecasting ability,what kind of fund has stronger forecasting ability of quarterly information,and the influencing factors of market performance when the stock quarterly report is released.This paper selects the positions of 141 active managed funds,uses Python to screen out the stocks of each of these funds for each quarter,and then uses the event study method to study the subsequent market reaction when these stock release the quarterly report,and the excess earnings rate was used to measure the unanticipated earnings in the quarterly report issued by the sample stocks to determine whether the active fund made a forecast for the unanticipated earnings.Firstly,the daily average excess return and accumulated excess return of the stocks are calculated separately.It was found that the sample stocks began to produce a significantly positive cumulative excess return before the release of the quarterly report,and reached the maximum on the day of the quarterly report,followed by a rate of return drift(PEAD),indicating that the active fund's holdings issued quarterly reports have a positive unanticipated surplus,the fund has made a forecast for the quarterly report of the holdings,and the yield of the increasing stocks is significantly better than the decreasing stocks,further confirming the ability of the active funds to forecast the stock quarterly report.At the same time,it also shows that the market has already begun to reflect the earnings information in the quarterly report before the release of the quarterly report of the stock,and the earnings information has basically been fully reflected before the release of the quarterly report.Subsequently,according to the four characteristics of the fund's historical income,scale,management expense rate and investment target,this paper will increase the sample stocks and conduct group research.Calculate the CAR level of each group's holding stocks and conduct t test to find historical income.Good,large-scale,high management expense ratios,and investment-oriented growth and value-added funds have shown stronger quarterly forecasting ability.Finally,based on the results of grouping research,combined with the academic research on the abnormal rate of return of the stock quarterly report window,we use the fund's last year's investment return rate,fund size,fund management expense rate,fund establishment time,four fund characteristics as explanatory variables,quarterly information factors such as stock market capitalization,adjusted P/E ratio,total return on assets,asset-liability ratio,total asset turnover,operating income growth rate,fund shareholding ratio,market valuation factors and institutional investors' shareholdings as control variables,the multi-return is used as the dependent variable in the excess return rate of the quarterly release window to make regress.The coefficient of the fund size and the fund's investment return rate in the previous year is significantly positive,indicating that the larger fund and the fund with better history yield have a stronger forecasting ability of the quarterly report.And the coefficient of fund management expense rate and fund establishment time is not significant.This paper thinks that the management expense rate is obvious when grouping,but the performance when regressing is not obvious mainly because the sample rate at that time is mostly 1.5%,the sample number of other expense rates is too small.And the fund establishing time has no significant impact on the forecasting ability of the fund's.In addition,the regression coefficient of stock size and total asset turnover rate is significantly positive,indicating that the stock size and total asset turnover rate will have a positive impact on the market reaction when the stock is released quarterly.And the regression coefficient of the rate valuation level,fund shareholding ratio and operating income increase is significantly positive,indicating that such stocks are more susceptible to market attention,and thus the accounting earnings performance is more difficult to exceed market expectations.The regression coefficient of total return on assets and asset-liability ratio is not significant,indicating that these two indicators have no significant impact on the market reaction of the stock quarterly report.The overall results are basically consistent with the relevant research conclusions.This paper uses the event study method often used in the research of stock quarterly reports to study the stocks of the active fund investment transactions,and finds that the fund has made a certain degree of prediction on the quarterly information of its holding stocks.The research on investment ability of investment funds has made certain supplements.At the same time,through group research based on the different characteristics of the fund,and the introduction of multiple factors for multiple regression,further explore the factors affecting the forecasting ability of the fund's quarterly report and the market reaction of the stock release quarterly report.It provides a meaningful reference for fund investors when choosing funds with strong investment ability.