REVIEW OF FINANCIAL STUDIES·(2017)30(1):281-323.doi:10.1093/rfs/hhw044·First published online: August 2, 2016

为不意外感到意外：收入季节性和股票回报率

作者：Tom Y. Chang (University of Southern California), Samuel M. Hartzmark (Chicago Booth School of Business), David H. Solomon (University of Southern California), Eugene F. Soltes (Harvard Business School)

摘要：我们提供的实证证据表明市场不能在季节性收入模式中对信息进行正确定价。一年中某一季度历史收入较高（“正季节性季度”）的公司通常在宣布这些收入时会获得较高的回报。分析师在正季节性季度会有更积极的预测误差，与错误收入估计驱动的回报一致。我们表明，投资者似乎会过于看重正季节性季度之后的近期低收入，导致对下一个正季节性季度产生悲观的预测。这个回报率不能够被基于风险、公司特定信息、增加的交易量或特质波动率所解释。

Being Surprised by the Unsurprising: Earnings Seasonality and Stock Returns

Tom Y. Chang（University of Southern California）, Samuel M. Hartzmark（Chicago Booth School of Business）, David H. Solomon（University of Southern California）, Eugene F. Soltes（Harvard Business School）

ABSTRACT

We present evidence consistent with markets failing to properly price information in seasonal earnings patterns. Firms with historically larger earnings in one quarter of the year (“positive seasonality quarters”) have higher returns when those earnings are usually announced. Analysts have more positive forecast errors in positive seasonality quarters, consistent with the returns being driven by mistaken earnings estimates. We show that investors appear to overweight recent lower earnings following positive seasonality quarters, leading to pessimistic forecasts in the subsequent positive seasonality quarter. The returns are not explained by risk-based explanations, firm-specific information, increased volume, or idiosyncratic volatility.

原文链接：http://rfs.oxfordjournals.org/content/30/1/281.abstract

翻译：何杉