Expectations Management and Stock Returns
研究发现，那些更可能将投资者预期引导至可超越水平的企业，在财报公布前收益较低，公布期间收益较高，这种模式在每个财季重复出现，表明企业通过提前压低预期来制造正面“惊喜”。
Abstract We establish a link between firms managing investors’ performance expectations, earnings announcement premiums, and cyclical patterns (i.e., seasonalities) in returns. Firms that are more likely to manage expectations toward beatable levels predictably earn lower returns before, and higher returns during, their earnings announcements. This pattern repeats across firms’ fiscal quarters, suggesting firms manufacture positive “surprises” by negatively biasing investors’ expectations ahead of announcing earnings. We corroborate these findings using non-price-based outcomes indicative of expectations management. Together, our findings are consistent with the pressure for firms to meet earnings targets shaping the cross-section of firms’ stock returns.