Firm-Specific Estimates of Differential Persistence and their Incremental Usefulness for Forecasting and Valuation
研究发现，基于公司层面估计的应计与现金流差异持续性模型，在预测盈余时优于传统截面模型，尤其对稳定公司更有效，且基于此构建的交易策略能获得超额收益。
ABSTRACT Although the differential persistence of accruals and operating cash flows is a firm-specific phenomenon, research seeking to exploit the differential persistence of these earnings components typically employs cross-sectional forecasting models. We find that a model based on firm-specific estimates of the differential persistence of accruals and operating cash flows is incrementally useful for out-of-sample forecasting relative to state-of-the-art cross-sectional models. In doing so, we show that firm-specific estimates of differential persistence are particularly useful when forecasting earnings for more stable firms (e.g., more profitable, lower growth, and less levered firms). We also demonstrate that a trading strategy exploiting investors' fixation on earnings and based on firm-specific estimates of differential persistence earns statistically and economically significant excess returns that are incremental to those generated by trading strategies based on the size of accruals. These results suggest that firm-specific estimates of differential persistence are incrementally informative for forecasting and valuation. JEL Classifications: M41.