On the Expected Earnings Hypothesis Explanation of the Aggregate Returns–Earnings Association Puzzle
研究了总股票回报与总收益之间的负相关关系，发现这种负相关源于预期收益变化，而非意外收益变化，且2000年后关系发生变化。
We provide strong support for the underappreciated expected earnings hypothesis of a negative correlation between aggregate stock returns and earnings. For 1970–2000, our powerful modeling strategy incorporating macroeconomic information reveals that aggregate returns are significantly and negatively correlated with expected aggregate earnings changes but uncorrelated with unexpected aggregate earnings changes. However, this negative correlation changes after 2000, perhaps from heightened volatility or accounting changes. We also show that underlying macroeconomic information explains the power of aggregate earnings to predict future gross domestic product growth.