The Variability of Earnings and Non‐Earnings Information and Earnings Prediction
研究了一个结合当前盈利和当前股价的复合盈利预测模型，发现当盈利波动与股价波动的比率低（高）时，当前盈利（当前股价）对预测未来盈利起关键作用，且复合模型在样本外预测准确性上优于单变量时间序列模型。
This paper examines the performance of a ‘composite’ model of earnings prediction that integrates current earnings and current price as predictors of next year's earnings. The results show that current earnings (current price) play a key role in predicting future earnings when the ratio of earnings variance to price variance is low (high). The composite model is superior to univariate time‐series models in out‐of‐sample predictive accuracy for the overall sample, and is substantially so for the group of firms with a high ratio of earnings variance to price variance.