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• W3007796891 abstract "Abstract This study utilizes samples from the Chinese A-share market to examine the relation between firms’ profit instability and cross-sectional stock returns. The empirical evidence indicates that firms with high profit instability have substantially lower future stock returns than those with low profit instability. The predictive information contained in profit instability is not subsumed by the level of profitability or the volatility of cash flow and is robust after controlling for well-known firm characteristics and risks. In addition, the long-term predictive performance of the firm’s profit instability is permanent over at least five years. Moreover, the profit instability effect is stronger among firms with better recent past performance, more lottery-like payoffs, and higher arbitrage risk. This finding suggests that the immaturity of investors and high constraints on arbitrage are the main sources of the profit instability effect in the Chinese market, which is consistent with the implications of behavioral mispricing explanations. Our investigation enriches the studies on profitability anomalies by uncovering profit instability as an incremental signal in predicting stock returns. Furthermore, this study provides a novel view to better understand the mechanisms of the anomalies related with firms' profitability in undeveloped stock markets of emerging economies, thereby benefiting investors from all over the world to seek more efficient investment strategies." @default.
• W3007796891 created "2020-03-06" @default.
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• W3007796891 date "2020-10-01" @default.
• W3007796891 modified "2023-10-08" @default.
• W3007796891 title "Firms' profit instability and the cross-section of stock returns: Evidence from China" @default.
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• W3007796891 doi "https://doi.org/10.1016/j.ribaf.2020.101203" @default.
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