Conservatism and Cross‐Sectional Variation in the Post–Earnings Announcement Drift
发现会计保守主义导致标准化未预期盈余的自相关存在可预测的横截面变化，即“损失效应”，且市场忽视该效应；结合该效应与已有策略可获得更高收益，证实市场低估了会计保守主义引起的时间序列特性。
ABSTRACT Accounting conservatism allows me to identify a previously undocumented source of predictable cross‐sectional variation in Standardized Unexpected Earnings' autocorrelations viz. the sign of the most recent earnings realization and present evidence that the market ignores this variation (“loss effect”). It is possible to earn returns higher than from the Bernard and Thomas (1990) strategy by incorporating this feature. Additionally, the paper shows that the “loss effect” is different from the “cross quarter” effect shown by Rangan and Sloan (1998) and it is possible to combine the two effects to earn returns higher than either strategy alone. Thus, the paper corroborates the Bernard and Thomas finding that stock prices fail to reflect the extent to which quarterly earnings series differ from a seasonal random walk and extends it by showing that the market systematically underestimates time‐series properties resulting from accounting conservatism.