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...

This study investigates the role of analysts on the relationship between trend information and cross-sectional returns. Our results show that the trend information about past price and trading volume significantly predicts future stock returns in the Chinese stock market. The trend effect is...