How Naïve Is the Market’s Use of Firm‐Specific Earnings Information?
发现投资者能根据公司历史盈利持续性预测未来持续性，且股价对盈利公告的即时反应与历史持续性正相关，但公告后漂移与历史持续性无关，说明投资者已意识到公司间盈利自相关程度的差异。
Recent studies suggest the apparent delay in the stock‐price response to earnings announcements (i.e., post‐earnings announcement drift) is caused by investors who underestimate the autocorrelation of seasonally‐differenced earnings (persistence). I present results that suggest: (1) a firm’s future persistence is predictable on the basis of its past persistence; (2) the immediate stock‐price response to earnings is positively related to historical persistence; (3) post‐earnings‐announcement drift is independent of historical persistence; and (4) consistent with (2) and (3), the difference between a firm’s current observed persistence and that implied in stock prices is independent of its historical persistence. These results extend prior research by demonstrating that investors are aware not only that seasonally‐differenced earnings are autocorrelated, but that investors recognize firm‐specific differences in the magnitude of the autocorrelation.