{"title":"公司盈利能力、异质投资者信念和股票回报的变化","authors":"Yifang Liu, Baochen Yang, Yunpeng Su","doi":"10.1016/j.jmse.2022.10.004","DOIUrl":null,"url":null,"abstract":"<div><p>In this study, we show that changes in profitability predict a firm's stock returns and future profitability. We construct three horizon-based profitability changes, including short-, medium-, and long-term changes. We find that the predictive information for short-term changes in profitability is not subsumed by the profitability level in the Chinese stock market. We also find that short-term profitability changes generate an asymmetrical premium across different market states. Furthermore, we find that the beta anomaly is embedded in the premium generated by a short-term change in profitability. In addition, we explore the underlying mechanisms of the profitability premium and propose a heterogeneous investor belief channel to explain the profitability premium. We find that risk-based q-theory also helps explain the profitability premium. Therefore, the profitability premium comes from a mixed source and cannot be entirely explained by a single theory.</p></div>","PeriodicalId":36172,"journal":{"name":"Journal of Management Science and Engineering","volume":"8 2","pages":"Pages 258-272"},"PeriodicalIF":5.4000,"publicationDate":"2023-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Changes in firm profitability, heterogeneous investor beliefs, and stock returns\",\"authors\":\"Yifang Liu, Baochen Yang, Yunpeng Su\",\"doi\":\"10.1016/j.jmse.2022.10.004\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>In this study, we show that changes in profitability predict a firm's stock returns and future profitability. We construct three horizon-based profitability changes, including short-, medium-, and long-term changes. We find that the predictive information for short-term changes in profitability is not subsumed by the profitability level in the Chinese stock market. We also find that short-term profitability changes generate an asymmetrical premium across different market states. Furthermore, we find that the beta anomaly is embedded in the premium generated by a short-term change in profitability. In addition, we explore the underlying mechanisms of the profitability premium and propose a heterogeneous investor belief channel to explain the profitability premium. We find that risk-based q-theory also helps explain the profitability premium. Therefore, the profitability premium comes from a mixed source and cannot be entirely explained by a single theory.</p></div>\",\"PeriodicalId\":36172,\"journal\":{\"name\":\"Journal of Management Science and Engineering\",\"volume\":\"8 2\",\"pages\":\"Pages 258-272\"},\"PeriodicalIF\":5.4000,\"publicationDate\":\"2023-06-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Management Science and Engineering\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S2096232022000567\",\"RegionNum\":2,\"RegionCategory\":\"管理学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Management Science and Engineering","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S2096232022000567","RegionNum":2,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
Changes in firm profitability, heterogeneous investor beliefs, and stock returns
In this study, we show that changes in profitability predict a firm's stock returns and future profitability. We construct three horizon-based profitability changes, including short-, medium-, and long-term changes. We find that the predictive information for short-term changes in profitability is not subsumed by the profitability level in the Chinese stock market. We also find that short-term profitability changes generate an asymmetrical premium across different market states. Furthermore, we find that the beta anomaly is embedded in the premium generated by a short-term change in profitability. In addition, we explore the underlying mechanisms of the profitability premium and propose a heterogeneous investor belief channel to explain the profitability premium. We find that risk-based q-theory also helps explain the profitability premium. Therefore, the profitability premium comes from a mixed source and cannot be entirely explained by a single theory.
期刊介绍:
The Journal of Engineering and Applied Science (JEAS) is the official journal of the Faculty of Engineering, Cairo University (CUFE), Egypt, established in 1816.
The Journal of Engineering and Applied Science publishes fundamental and applied research articles and reviews spanning different areas of engineering disciplines, applications, and interdisciplinary topics.