| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12528 |
| DP12528 Sticky Expectations and the Profitability Anomaly | |
| David Thesmar; Jean-Philippe Bouchaud; Augustin Landier | |
| 发表日期 | 2017-12-21 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | We propose a theory of one of the most economically significant stock market anomalies, i.e. the "profitability" anomaly. In our model, investors forecast future profits using a signal and sticky belief dynamics. In this model, past profits forecast future returns (the profitability anomaly). Using analyst forecast data, we measure expectation stickiness at the firm level and find strong support for three additional predictions of the model: (1) analysts are on average too pessimistic regarding the future profits of high prot rms, (2) the profitability anomaly is stronger for stocks which are followed by stickier analysts, and (3) it is also stronger for stocks with more persistent profits. |
| 主题 | Financial Economics |
| 关键词 | Sticky expectations Profitability anomaly |
| URL | https://cepr.org/publications/dp12528 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/541339 |
| 推荐引用方式 GB/T 7714 | David Thesmar,Jean-Philippe Bouchaud,Augustin Landier. DP12528 Sticky Expectations and the Profitability Anomaly. 2017. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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