Do Stock Prices Fully Reflect the Implications of Current Earnings for Future Earnings for AR1 Firms?
研究股票价格是否完全反映当前收益对未来收益的含义，针对收益遵循简单一阶自回归过程的公司样本进行检验，发现投资者未能充分理解复杂收益生成过程是导致市场反应不足的原因。
This paper extends previous research, particularly Bernard and Thomas [1989; 1990], which has concluded that stock prices do not fully reflect the implications of current earnings for future earnings. Previous research is based on the assumption that quarterly earnings follow the complex process identified by Brown and Rozeff [1979] (hereafter BR). As shown by Maines and Hand [1996], however, individuals do not fully understand a simple quarterly earnings-generating process. In this study, we conjecture that the BR model's complexity is the source of investor failure to fully appreciate the implications of current earnings for future earnings. We test this conjecture on a sample of firms whose quarterly earnings are generated by a simple first-order autoregressive (AR]) process.