题目：The Divergence of Street from GAAP Earnings and Stock Mispricing
报告人：吴致霆助理教授
时间：4月26日（周五） 上午10:00-11:30
地点：思明校区嘉庚二号楼501教室
摘要：Whether the differences between Street and GAAP earnings can value stocks is a controversial question in the literature. To shed light on that disagreement, we provide robust evidence to show that the differences negatively predict future stock returns, but not future cash flows. A trading strategy that sorts stocks on the differences generates an economically significant profit. In investigating the economic nature of the differences, we discover that they reflect managers’ opportunistic biases. Firms with greater earnings differences have greater earnings surprises, intangible capital investments, and stock issuances. Further evidence discloses that investors’ inability to completely understand the opportunistic part of the differences causes stock mispricing and stocks with greater earnings differences are more overpriced. Accordingly, the negative differences-return relation is stronger following high-sentiment periods and in stocks with greater limits to arbitrage. Furthermore, a decomposition method shows that approximately half of the negative relation can be explained by stocks’ mispricing levels.
About the Speaker/报告人简介：吴致霆，现任厦门大学财务管理与会计研究院助理教授，博士毕业于圣安德鲁斯大学，主要从事宏观资产定价、行为金融学、一般均衡模型数值算法等领域研究。