Being Surprised by the Unsurprising: Earnings Seasonality and Stock Returns
研究发现市场未能合理定价盈利的季节性模式：历史上某季度盈利较高的公司，在通常公布该季度盈利时回报更高，且分析师预测误差更大，表明投资者过度关注近期较低盈利导致悲观预测。
We present evidence consistent with markets failing to properly price information in seasonal earnings patterns. Firms with historically larger earnings in one quarter of the year (“positive seasonality quarters”) have higher returns when those earnings are usually announced. Analysts have more positive forecast errors in positive seasonality quarters, consistent with the returns being driven by mistaken earnings estimates. We show that investors appear to overweight recent lower earnings following positive seasonality quarters, leading to pessimistic forecasts in the subsequent positive seasonality quarter. The returns are not explained by risk-based explanations, firm-specific information, increased volume, or idiosyncratic volatility. Received June 19, 2014; accepted April 25, 2016, by Editor David Hirshleifer.