Earnings acceleration and stock returns

• 成果类型: Article
• 署名作者: He, Shuoyuan; Narayanamoorthy, Ganapathi (Gans)
• 署名单位: Tulane University; California State University System; San Francisco State University
• 刊物名称: JOURNAL OF ACCOUNTING & ECONOMICS
• ISSN/ISSBN: 0165-4101
• DOI: 10.1016/j.jacceco.2019.101238
• 发表日期: 2020
• 关键词: time-series properties; PRICES FULLY REFLECT; ANNOUNCEMENT DRIFT; CONTRARIAN INVESTMENT; quarterly earnings; cross-section; Cash flows; persistence; conservatism; INFORMATION

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.