SECURITY ANALYST FORECASTS AND THE EARNINGS YIELD ANOMALY
检验盈利收益率异象与盈利预测误差效应之间的关系，发现后者不能解释前者，对理解市场异象成因有参考价值。
This paper tests for existence of a positive relationship between the earnings yield anomaly and the earnings forecast error (EFE) effect. The earnings yield anomaly recognizes that stocks with low price‐earnings ratios produce positive risk‐adjusted returns. The EFE effect refers to the positively related stock price response to differences in reported earnings per share (EPS) and the EPS previously forecast by security research analysts. The within group method is used in order to remove the effect of the EFE. Empirical research findings based on 1979‐1988 data, indicate that the EFE effect does not account for the earnings yield anomaly.