Lazy Prices
研究发现，美国公司财务报告语言和结构的微小变化能预测未来股价、盈利甚至破产，做空变化者、买入不变者每月可获高达188个基点的超额收益，且投资者对此类简单变化普遍忽视。
ABSTRACT Using the complete history of regular quarterly and annual filings by U.S. corporations, we show that changes to the language and construction of financial reports have strong implications for firms’ future returns and operations. A portfolio that shorts “changers” and buys “nonchangers” earns up to 188 basis points per month in alpha (over 22% per year) in the future. Moreover, changes to 10‐Ks predict future earnings, profitability, future news announcements, and even future firm‐level bankruptcies. Unlike typical underreaction patterns, we find no announcement effect, suggesting that investors are inattentive to these simple changes across the universe of public firms.