The Accounting Review, Vol. 92, No. 5, September 2017

公司的盈利趋势和股票的横截面收益

作者：Ferhat Akbas (University of Illinois at Chicago)

Chao Jiang (University of South Carolina)

Paul D. Koch (The University of Kansas)

摘要：这项研究表明，公司最近的盈利轨迹预示着未来的盈利能力和股票回报。盈利趋势中所包含的预测信息并没有被盈利能力、盈利动量或其他著名的股票收益决定因素所限制。盈利趋势也预示着未来一个季度后的收益异常，以及未来12个月的分析师预测误差，这表明经验丰富的投资者对利润趋势的信息反应不足。另一方面，我们没有发现投资者过度反应的证据，我们的结果无法被众所周知的风险因素所解释。

The Trend in Firm Profitability and the Cross-Section of Stock Returns

Ferhat Akbas (University of Illinois at Chicago), Chao Jiang (University of South Carolina), Paul D. Koch (The University of Kansas)

ABSTRACT

This study shows that the recent trajectory of a firm's profits predicts future profitability and stock returns. The predictive information contained in the trend of profitability is not subsumed by the level of profitability, earnings momentum, or other well-known determinants of stock returns. The profit trend also predicts the earnings surprise one quarter later, and analyst forecast errors over the following 12 months, suggesting that sophisticated investors underreact to the information in the profit trend. On the other hand, we find no evidence of investor overreaction, and our results cannot be explained by well-known risk factors.

原文链接：http://www.aaajournals.org/doi/abs/10.2308/accr-51708

翻译：阙江静