Being Surprised by the Unsurprising: Earnings Seasonality and Stock Returns

• 成果类型: Article
• 署名作者: Chang, Tom Y.; Hartzmark, Samuel M.; Solomon, David H.; Soltes, Eugene F.
• 署名单位: University of Southern California; Harvard University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhw044
• 发表日期: 2017
• 页码: 281
• 关键词: MUTUAL FUND PERFORMANCE; PRICES FULLY REFLECT; MARKET-EFFICIENCY; FUTURE EARNINGS; ANNOUNCEMENT DRIFT; SECURITY RETURNS; cross-section; Cash flows; INFORMATION; RISK

摘要

We present evidence consistent with markets failing to properly price information in seasonal earnings patterns. Firms with historically larger earnings in one quarter of the year (positive seasonality quarters) have higher returns when those earnings are usually announced. Analysts have more positive forecast errors in positive seasonality quarters, consistent with the returns being driven by mistaken earnings estimates. We show that investors appear to overweight recent lower earnings following positive seasonality quarters, leading to pessimistic forecasts in the subsequent positive seasonality quarter. The returns are not explained by risk-based explanations, firm-specific information, increased volume, or idiosyncratic volatility.