Expected versus Ex Post Profitability in the Cross‐Section of Industry Returns
用组合预测方法估算行业层面的预期盈利，发现基于预期盈利的行业轮动策略在扣除交易成本后仍能获得显著超额收益，且优于基于实际盈利的策略。
Abstract Asset pricing theory predicts a positive cross‐sectional relation between expected profitability and expected returns. However, empirical studies typically use lagged ex post profitability as a proxy for expected profitability. In this article, we use out‐of‐sample combination forecasts to estimate expected industry‐level operating profit, gross profit, operating cash flow, and net income. We then construct real‐time industry‐rotation strategies based on high and low expected profitability. For each measure except gross profit, these predicted‐profitability strategies earn significant alpha net of transaction costs and outperform strategies based on ex post profitability.