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

為不意外感到意外：收入季節性和股票回報率

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：我們提供的實證證據表明市場不能在季節性收入模式中對信息進行正确定價。一年中某一季度曆史收入較高（“正季節性季度”）的公司通常在宣布這些收入時會獲得較高的回報。分析師在正季節性季度會有更積極的預測誤差，與錯誤收入估計驅動的回報一緻。我們表明，投資者似乎會過于看重正季節性季度之後的近期低收入，導緻對下一個正季節性季度産生悲觀的預測。這個回報率不能夠被基于風險、公司特定信息、增加的交易量或特質波動率所解釋。

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.

原文鍊接：http://rfs.oxfordjournals.org/content/30/1/281.abstract

翻譯：何杉