Extracting Forward-Looking Information from Security Prices: A New Approach
提出市场适应盈余（MAE）指数，利用股票收益和会计信号估计市场对未来盈余的预期，在预测未来盈余上优于时间序列模型，尤其适用于无分析师覆盖的公司。
ABSTRACT: This paper proposes a new index to extract forward-looking information from security prices and infer market participants’ expectations of future earnings. The index, called market-adapted earnings (MAE), utilizes stock returns and fundamental accounting signals to estimate market expectations of future earnings at the firm level. MAE outperforms time-series models (e.g., random-walk) in predicting future earnings. Results demonstrate the usefulness of MAE for firms that have no analyst following.