The Trend in Firm Profitability and the Cross-Section of Stock Returns
研究发现企业盈利的近期趋势能预测未来盈利和股票回报，且该信息未被盈利水平、盈利动量等因素覆盖，同时盈利趋势还能预测季度盈利意外和分析师预测误差。
ABSTRACT This study shows that the recent trajectory of a firm's profits predicts future profitability and stock returns. The predictive information contained in the trend of profitability is not subsumed by the level of profitability, earnings momentum, or other well-known determinants of stock returns. The profit trend also predicts the earnings surprise one quarter later, and analyst forecast errors over the following 12 months, suggesting that sophisticated investors underreact to the information in the profit trend. On the other hand, we find no evidence of investor overreaction, and our results cannot be explained by well-known risk factors. JEL Classifications: G12; G14.