Financial Management · 03 June 2018

预期盈利能力vs事后盈利能力——基于行业横截面收益

作者：Andrew Detzel (University of Denver),

Philipp Schaberl (University of Northern Colorado)

Jack Strauss (University of Denver)

摘要：资产定价理论预测了预期收益率与预期收益之间截面上的正相关关系。然而，实证研究通常使用滞后的事后盈利能力作为预期盈利能力的代理变量。本文使用样本外组合预测来估计预期行业水平的经营利润、毛利润、营运现金流量和净收益。然后我们基于高期望收益和低期望收益，构造实时的行业轮动策略。除了毛利润以外，所有指标都表明这些预测的盈利策略能够获得去除交易成本后的Hou等（2015）四因子模型显著的阿尔法，并且这些策略的表现好于基于事后盈利作为代理变量的策略。

Expected vs Ex-Post Profitability in the Cross-Section of Industry Returns

Andrew Detzel (University of Denver), Philipp Schaberl (University of Northern Colorado), Jack Strauss (University of Denver)

ABSTRACT

Asset pricing theory predicts a positive cross‐sectional relationship between expected profitability and expected returns. However, empirical studies typically use lagged ex‐post profitability as a proxy for expected profitability. In this paper, we use out‐of‐sample combination forecasts to estimate expected industry‐level operating profit, gross profit, operating cash flow, and net income. We then construct real‐time industry‐rotation strategies based on high and low expected profitability. For each measure except gross profit, these predicted‐profitability strategies earn significant alpha with respect to the Hou et al. (2015) four‐factor model net of transaction costs and outperform strategies based on ex‐post profitability.

原文链接：https://onlinelibrary.wiley.com/doi/epdf/10.1111/fima.12231

翻译：施懿