Earnings acceleration and stock returns

被引：17

作者：

He, Shuoyuan ^{[1
,2
]}

Narayanamoorthy, Ganapathi ^{[1
]}

机构：

[1] Tulane Univ, New Orleans, LA 70118 USA

[2] San Francisco State Univ, San Francisco, CA 94132 USA

来源：

JOURNAL OF ACCOUNTING & ECONOMICS | 2020年 / 69卷 / 01期

关键词：

Earnings acceleration; Trading strategy; Active investing; Mispricing; Anomaly; TIME-SERIES PROPERTIES; PRICES FULLY REFLECT; ANNOUNCEMENT DRIFT; CONTRARIAN INVESTMENT; QUARTERLY EARNINGS; CROSS-SECTION; CASH FLOWS; PERSISTENCE; CONSERVATISM; INFORMATION;

D O I：

10.1016/j.jacceco.2019.101238

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We document that earnings acceleration, defined as the quarter-over-quarter change in earnings growth, has significant explanatory power for future excess returns. These excess returns are robust to a wide range of previously documented anomalies and a battery of risk controls. The future return predictability appears to be consistent with investors assuming a seasonal random walk model for quarterly earnings and missing predictable implications of earnings acceleration for future earnings growth. Finally, the excess returns from the basic earnings acceleration strategy can be enhanced further by focusing on profit firms, low earnings volatility firms and on specific patterns of earnings acceleration. (C) 2019 Elsevier B.V. All rights reserved.

引用

页数：22

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