Postfundamentals Price Drift in Capital Markets: A Regression Regularization Perspective

• 成果类型: Article
• 署名作者: Avramov, Doron; Kaplanski, Guy; Subrahmanyam, Avanidhar
• 署名单位: Reichman University; Bar Ilan University; University of California System; University of California Los Angeles
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2021.4202
• 发表日期: 2022
• 页码: 7658-7681
• 关键词: regression regularization techniques; Cross-section of returns; accounting fundamentals; capital markets

摘要

Regression regularization techniques show that deviations of accounting fundamentals from their preceding moving averages forecast drifts in equity market prices. Deviations-based predictability survives a comprehensive set of prominent anomalies. The profitability applies strongly to the long leg and survives value weighting and excluding microcaps. We provide evidence that the predictability arises because investors anchor to recent means of fundamentals. A factor based on our fundamentals-based index yields economically significant intercepts after controlling for a comprehensive set of other factors, including those based on profit margins and earnings drift.