Bridging the gap between stock price and bottom-line accounting numbers
提出一种从股价与底线会计数字的关系中提取“其他信息”的方法，发现该信息能捕捉未来盈利增长和投资机会，并可用于预测股票收益和产生多空收益差。
Abstract We develop a method for extracting “other information” from the articulation between bottom-line accounting numbers and stock prices. We posit that “other information” captures future earnings growth originating from conservative accounting recognition principles as demonstrated by Penman and Zhang (2020) and Penman and Zhu (2022), as well as nonzero net present value investment opportunities. Our findings confirm that “other information” is strongly associated with various proxies for expected future earnings growth and firm risk attributes. Furthermore, we show how a structural expected return model incorporating our “other information” estimate can predict out-of-sample future stock returns and generate sizeable long-short return spreads.