Sticky Expectations and the Profitability Anomaly
提出理论解释盈利异象，认为投资者基于信号和粘性信念预测未来利润，导致过去利润能预测未来收益。利用分析师预测数据验证了三个额外预测。
ABSTRACT We propose a theory of the “profitability” anomaly. In our model, investors forecast future profits using a signal and sticky belief dynamics. In this model, past profits forecast future returns (the profitability anomaly). Using analyst forecast data, we measure expectation stickiness at the firm level and find strong support for three additional model predictions: (1) analysts are on average too pessimistic regarding the future profits of high‐profit firms, (2) the profitability anomaly is stronger for stocks that are followed by stickier analysts, and (3) the profitability anomaly is stronger for stocks with more persistent profits.