Predicting Stock Returns Using Financial Statement Information
在英国市场1980-1992年间检验了两种基于财务报表信息的交易策略能否获得超额收益，发现通过间接预测盈利变化可预测未来异常收益，但直接预测股票收益的证据较弱。
We examine the profitability of the Ou and Penman (1989a) Pr trading strategy and the Holthausen and Larcker (1992) Prob trading strategy over the period 1980–1992 in the UK. This is a test of whether an investor can earn abnormal returns by exploiting fundamental accounting data. We employ alternative abnormal return metrics and research designs to control for risk. Using a UK dataset offers an independent test because the UK differs from the US in its formal and informal financial reporting environment, its structure of share ownership, and the behaviour of its economy over the study period. We find consistent evidence that an investor could have used a summary measure of financial statement information to predict future abnormal returns by indirectly predicting one‐year‐ahead earnings changes, but only weak and inconsistent evidence that an investor could have used a summary measure of financial statement information to predict one‐year‐ahead stock returns directly. We offer some thoughts on the reasons for these different results.