Download This PaperDiscussion of 'How Well Do Investors Understand Loss Persistence?'
15 Pages Posted: 15 May 2011 Last revised: 31 Aug 2011
Date Written: April 1, 2011
Abstract
Li (2011) proposes a quarterly earnings prediction model for loss generating firms, shows that it produces better specified future earnings estimates relative to naïve quarterly forecast models, and that it can be used to form a trading strategy that produces economically significant annual hedge returns. I discuss alternative perspectives on Li’s empirical results and suggest directions for future research.
Keywords: Earnings forecasts, return anomalies, loss persistence
JEL Classification: G24, G29, M41
Suggested Citation: Suggested Citation
Resutek, Robert J., Discussion of 'How Well Do Investors Understand Loss Persistence?' (April 1, 2011). Review of Accounting Studies, Vol. 16, No. 3, 2011, Tuck School of Business Working Paper No. 2011-98, Available at SSRN: https://ssrn.com/abstract=1832502
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