Earnings Extrapolation and Predictable Stock Market Returns

• 成果类型: Article
• 署名作者: Guo, Hongye
• 署名单位: University of Hong Kong
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhaf020
• 发表日期: 2025
• 页码: 1730
• 关键词: INTRAINDUSTRY INFORMATION TRANSFERS; equity premium; rare disasters; habit formation; cross-section; announcements; prices; RISK; expectations; seasonality

摘要

The U.S. stock market's return during the first month of a quarter correlates strongly with returns in future months, but the correlation is negative if the future month is the first month of a quarter, and positive if it isn't. These correlations offset, consistent with the well-known near-zero unconditional autocorrelation, yet they are pervasive, present across industries and countries. The pattern accords with a model in which investors extrapolate announced earnings to predict future earnings, not recognizing that earnings in the first month of a quarter are discretely less predictable than in prior months. Survey data support the model.