Rewarding Fundamentals
研究了过去20年准确盈利预测对股票回报的影响，发现预测盈利高的股票回报持续高于预测低的股票，且差异随预测期延长而扩大。
Over the decades there has been an ubiquitous fixation on earnings power, earnings momentum, earnings announcements, earnings surprises, and the like. The clear explanation is that stock valuations and prices are impacted by earnings changes more than any other phenomenon. Sorensen and Ghosh analyze the hypothetical value of accurate (perfect) earnings forecasting over the past 20 years with lead horizons of 3 to 15 months. The returns for top-quintile stocks ranked by positive earnings relative to forecasts are consistently higher than bottom-quintile stocks that posted earnings below ex ante expectations. The return differentials are extraordinary, consistent over the years, larger with longer forecast horizons, and larger for stocks with tighter ex ante forecasts. <b>TOPICS:</b>Theory, equity portfolio management