Expectations and the Cross-Section of Stock Returns
利用分析师预测调查数据，检验预期系统性错误是否解释价值股的高收益，发现利用分析师预测误差的投资策略能获得超额收益。
Previous research has shown that stocks with low prices relative to book value, cash flow, earnings, or dividends (that is, value stocks) earn high returns. Value stocks may earn high returns because they are more risky. Alternatively, systematic errors in expectations may explain the high returns earned by value stocks. I test for the existence of systematic errors using survey data on forecasts by stock market analysts. I show that investment strategies that seek to exploit errors in analysts' forecasts earn superior returns because expectations about future growth in earnings are too extreme.