Expectations and the Cross‐Section of Stock Returns
用分析师预测的调查数据检验价值股高收益是否源于预期系统性错误，发现利用分析师预测误差的投资策略能获得超额收益，因为对未来盈利增长的预期过于极端。
ABSTRACT Previous research has shown that stocks with low prices relative to book value, cash flow, earnings, or dividends (that is, value stocks) earn high returns. Value stocks may earn high returns because they are more risky. Alternatively, systematic errors in expectations may explain the high returns earned by value stocks. I test for the existence of systematic errors using survey data on forecasts by stock market analysts. I show that investment strategies that seek to exploit errors in analysts' forecasts earn superior returns because expectations about future growth in earnings are too extreme .