A Structural Break in the Aggregate Earnings–Returns Relation
实证估计总盈余与股票收益率关系发生结构性变化的时点为1991年第四季度，并发现该变化主要由库存应计项目的跨期变动驱动，归因于库存管理系统的改进。
Abstract This study empirically estimates the date of the structural change in the aggregate earnings–returns relation and reports it as the fourth quarter of 1991. We identify three sources of the structural change: (i) an increase in the relative importance of cash flow news contained in stock returns; (ii) a decrease in the importance of discount rate news contained in aggregate earnings; and (iii) a decrease in the persistence or the predictability of aggregate earnings and returns. Next, we examine the components of aggregate earnings and find that the change in the aggregate earnings–returns relation is largely driven by intertemporal changes in aggregate inventory accruals, suggesting the structural change is attributable to improved inventory management systems.