Post-Earnings-Announcement Drift and the Return Predictability of Earnings Levels: One Effect or Two?
检验盈余水平能否独立于盈余变化预测未来收益，发现盈余水平的预测能力被盈余变化所包含，基于净收入、经营盈利能力和毛利润率的交易策略在控制盈余变化后不再获得显著异常收益。
This paper examines whether earnings levels predict future returns distinct from earnings changes. I find that the predictive ability of earnings levels is subsumed by and is not incremental to the predictive ability of earnings changes. Specifically, I find that trading strategies based on net income, operating profitability, and gross profitability do not earn significant abnormal returns after controlling for earnings changes. My evidence suggests that these anomalies are an artifact of post-earnings-announcement drift and the failure to properly control for earnings changes. Data are available at https://doi.org/10.1287/mnsc.2017.2838 . This paper was accepted by Mary Barth, accounting.