Earnings Extrapolation and Predictable Stock Market Returns
研究发现美国股市季度首月回报能预测后续月份回报，但方向相反，这与投资者外推盈利公告而忽视季度首月盈利更难预测的行为模型一致，调查数据支持该模型。
Abstract The U.S. stock market’s return during the first month of a quarter correlates strongly with returns in future months, but the correlation is negative if the future month is the first month of a quarter, and positive if it isn’t. These correlations offset, consistent with the well-known near-zero unconditional autocorrelation, yet they are pervasive, present across industries and countries. The pattern accords with a model in which investors extrapolate announced earnings to predict future earnings, not recognizing that earnings in the first month of a quarter are discretely less predictable than in prior months. Survey data support the model.