Sticky Expectations and the Profitability Anomaly

• 成果类型: Article
• 署名作者: Bouchaud, Jean-Philippe; Krueger, Philipp; Landier, Augustin; Thesmar, David
• 署名单位: University of Geneva; University of Geneva; Hautes Etudes Commerciales (HEC) Paris; Massachusetts Institute of Technology (MIT); Center for Economic & Policy Research (CEPR)
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12734
• 发表日期: 2019
• 页码: 639-674
• 关键词: investor psychology; cross-section; INFORMATION; analysts; returns; MARKET; underreaction; overreaction; prices

摘要

We propose a theory of the profitability anomaly. In our model, investors forecast future profits using a signal and sticky belief dynamics. In this model, past profits forecast future returns (the profitability anomaly). Using analyst forecast data, we measure expectation stickiness at the firm level and find strong support for three additional model predictions: (1) analysts are on average too pessimistic regarding the future profits of high-profit firms, (2) the profitability anomaly is stronger for stocks that are followed by stickier analysts, and (3) the profitability anomaly is stronger for stocks with more persistent profits.