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Stock returns, aggregate earnings surprises, and behavioral finance

Citations

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Cited by:

  1. Stefan Nagel & Zhengyang Xu, 2022. "Asset Pricing with Fading Memory," The Review of Financial Studies, Society for Financial Studies, vol. 35(5), pages 2190-2245.
  2. Goel, Sanjay & Cagle, Seth & Shawky, Hany, 2017. "How vulnerable are international financial markets to terrorism? An empirical study based on terrorist incidents worldwide," Journal of Financial Stability, Elsevier, vol. 33(C), pages 120-132.
  3. Easterday, Kathryn E. & Sen, Pradyot K., 2016. "Is the January effect rational? Insights from the accounting valuation model," The Quarterly Review of Economics and Finance, Elsevier, vol. 59(C), pages 168-185.
  4. Marks, Joseph & Yezegel, Ari, 2018. "Do aggregate analyst recommendations predict market returns in international markets?," International Review of Financial Analysis, Elsevier, vol. 59(C), pages 234-254.
  5. Zolotoy, Leon & Frederickson, James R. & Lyon, John D., 2017. "Aggregate earnings and stock market returns: The good, the bad, and the state-dependent," Journal of Banking & Finance, Elsevier, vol. 77(C), pages 157-175.
  6. Choi, Jung Ho & Kalay, Alon & Sadka, Gil, 2016. "Earnings news, expected earnings, and aggregate stock returns," Journal of Financial Markets, Elsevier, vol. 29(C), pages 110-143.
  7. An, Zhe & Li, Donghui & Yu, Jin, 2016. "Earnings management, capital structure, and the role of institutional environments," Journal of Banking & Finance, Elsevier, vol. 68(C), pages 131-152.
  8. Flannery, Mark & Hirtle, Beverly & Kovner, Anna, 2017. "Evaluating the information in the federal reserve stress tests," Journal of Financial Intermediation, Elsevier, vol. 29(C), pages 1-18.
  9. Ioannis Kyriakou & Parastoo Mousavi & Jens Perch Nielsen & Michael Scholz, 2021. "Forecasting benchmarks of long-term stock returns via machine learning," Annals of Operations Research, Springer, vol. 297(1), pages 221-240, February.
  10. Sadka, Gil & Sadka, Ronnie, 2009. "Predictability and the earnings-returns relation," Journal of Financial Economics, Elsevier, vol. 94(1), pages 87-106, October.
  11. Kent Daniel & David Hirshleifer & Lin Sun, 2020. "Short- and Long-Horizon Behavioral Factors," The Review of Financial Studies, Society for Financial Studies, vol. 33(4), pages 1673-1736.
  12. Dunne, Peter & Hau, Harald & Moore, Michael, 2010. "International order flows: Explaining equity and exchange rate returns," Journal of International Money and Finance, Elsevier, vol. 29(2), pages 358-386, March.
  13. Safdar, Irfan, 2018. "The information content of aggregate profitability," The British Accounting Review, Elsevier, vol. 50(5), pages 497-515.
  14. Olibe, Kingsley O. & Strawser, Robert H. & Strawser, William R., 2022. "The information content of earnings for UK firms disclosing under UK GAAP and IFRS," Journal of International Accounting, Auditing and Taxation, Elsevier, vol. 46(C).
  15. Singh, Bharati, 2021. "A Bibliometric Analysis of Behavioral Finance and Behavioral Accounting," American Business Review, Pompea College of Business, University of New Haven, vol. 24(2), pages 198-230, November.
  16. Paul-Olivier KLEIN & Rima TURK & Laurent WEILL, 2017. "How Religiosity Shapes Investor Behavior: Sukuk Issuances During Ramadan," Working Papers of LaRGE Research Center 2017-01, Laboratoire de Recherche en Gestion et Economie (LaRGE), Université de Strasbourg.
  17. Jacob Boudoukh & Ronen Israel & Matthew P. Richardson, 2020. "Biases in Long-Horizon Predictive Regressions," NBER Working Papers 27410, National Bureau of Economic Research, Inc.
  18. Binz, Oliver & Mayew, William J. & Nallareddy, Suresh, 2022. "Firms’ response to macroeconomic estimation errors," Journal of Accounting and Economics, Elsevier, vol. 73(2).
  19. Martin Dierker & Jung-Wook Kim & Jason Lee & Randall Morck, 2016. "Investors’ Interacting Demand and Supply Curves for Common Stocks," Review of Finance, European Finance Association, vol. 20(4), pages 1517-1547.
  20. Hirshleifer, David & Hou, Kewei & Teoh, Siew Hong, 2009. "Accruals, cash flows, and aggregate stock returns," Journal of Financial Economics, Elsevier, vol. 91(3), pages 389-406, March.
  21. Xanthi Gkougkousi, 2014. "Aggregate Earnings and Corporate Bond Markets," Journal of Accounting Research, Wiley Blackwell, vol. 52(1), pages 75-106, March.
  22. Sang Ik Seok & Hoon Cho & Chanhi Park & Doojin Ryu, 2019. "Do Overnight Returns Truly Measure Firm-Specific Investor Sentiment in the KOSPI Market?," Sustainability, MDPI, vol. 11(13), pages 1-14, July.
  23. Ryan T. Ball & Lindsey Gallo & Eric Ghysels, 2019. "Tilting the evidence: the role of firm-level earnings attributes in the relation between aggregated earnings and gross domestic product," Review of Accounting Studies, Springer, vol. 24(2), pages 570-592, June.
  24. Jaewoo Kim & Bryce Schonberger & Charles Wasley & Hunter Land, 2020. "Intertemporal variation in the information content of aggregate earnings and its effect on the aggregate earnings-return relation," Review of Accounting Studies, Springer, vol. 25(4), pages 1410-1443, December.
  25. Catherine Georgiou, 2020. "The British Stock Market under the Structure of Market Capitalization Value: New Evidence on its Predictive Content," International Journal of Business and Economic Sciences Applied Research (IJBESAR), International Hellenic University (IHU), Kavala Campus, Greece (formerly Eastern Macedonia and Thrace Institute of Technology - EMaTTech), vol. 13(3), pages 56-69, December.
  26. Bannigidadmath, Deepa & Narayan, Paresh Kumar, 2021. "Economic news and the cross-section of commodity futures returns," Journal of Behavioral and Experimental Finance, Elsevier, vol. 31(C).
  27. Kang, Wensheng & Ratti, Ronald A. & Vespignani, Joaquin L., 2019. "Revising the Impact of Global Commodity Prices and Global Stock Market Volatility Shocks: Effects across Countries," MPRA Paper 103035, University Library of Munich, Germany.
  28. Kang, Wensheng & Ratti, Ronald A. & Vespignani, Joaquin, 2020. "Global commodity prices and global stock market volatility shocks: Effects across countries," Journal of Asian Economics, Elsevier, vol. 71(C).
  29. Panos Patatoukas & Hongjun Yan, 2009. "The Impact of Earnings Surprises on Stock Returns: Theory and Evidence," Yale School of Management Working Papers amz2517, Yale School of Management.
  30. Claire Y. C. Liang & Rengong Zhang, 2020. "Post-earnings announcement drift and parameter uncertainty: evidence from industry and market news," Review of Quantitative Finance and Accounting, Springer, vol. 55(2), pages 695-738, August.
  31. Meng, Bo & Vijh, Anand M., 2021. "Stock merger activity and industry performance," Journal of Banking & Finance, Elsevier, vol. 129(C).
  32. Ľuboš Pástor & Robert F. Stambaugh, 2009. "Predictive Systems: Living with Imperfect Predictors," Journal of Finance, American Finance Association, vol. 64(4), pages 1583-1628, August.
  33. Chelley-Steeley, Patricia & Lambertides, Neophytos & Savva, Christos S., 2013. "Illiquidity shocks and the comovement between stocks: New evidence using smooth transition," Journal of Empirical Finance, Elsevier, vol. 23(C), pages 1-15.
  34. Klein, Paul-Olivier & Turk, Rima & Weill, Laurent, 2017. "Religiosity vs. well-being effects on investor behavior," Journal of Economic Behavior & Organization, Elsevier, vol. 138(C), pages 50-62.
  35. Atif Ellahie, 2021. "Earnings beta," Review of Accounting Studies, Springer, vol. 26(1), pages 81-122, March.
  36. Hsu, Po-Hsuan, 2009. "Technological innovations and aggregate risk premiums," Journal of Financial Economics, Elsevier, vol. 94(2), pages 264-279, November.
  37. Wiesen, Taylor, 2023. "Aggregate earnings and market expectations in United States presidential election prediction markets," Advances in accounting, Elsevier, vol. 60(C).
  38. Krishnamurti, Chandrasekhar & Chowdhury, Hasibul & Han, Hien Duc, 2021. "CEO centrality and stock price crash risk," Journal of Behavioral and Experimental Finance, Elsevier, vol. 31(C).
  39. Chowdhury, Hasibul & Hodgson, Allan & Pathan, Shams, 2020. "Do external labour market incentives constrain bad news hoarding? The CEO's industry tournament and crash risk reduction," Journal of Corporate Finance, Elsevier, vol. 65(C).
  40. Chue, Timothy K. & Xu, Jin Karen, 2022. "Profitability, asset investment, and aggregate stock returns," Journal of Banking & Finance, Elsevier, vol. 143(C).
  41. Chakrabarty, Bidisha & Moulton, Pamela C., 2012. "Earnings announcements and attention constraints: The role of market design," Journal of Accounting and Economics, Elsevier, vol. 53(3), pages 612-634.
  42. Li, Zhaochu & Lytvynenko, Iryna P., 2021. "Currency fluctuations and the post-earnings announcement drift," Finance Research Letters, Elsevier, vol. 40(C).
  43. Qiang Kang & Qiao Liu & Rong Qi, 2010. "Predicting Stock Market Returns with Aggregate Discretionary Accruals," Journal of Accounting Research, Wiley Blackwell, vol. 48(4), pages 815-858, September.
  44. Li, Jun & Wang, Huijun & Yu, Jianfeng, 2018. "Aggregate Expected Investment Growth and Stock Market Returns," ADBI Working Papers 808, Asian Development Bank Institute.
  45. Bruno Deschamps, 2015. "Are aggregate corporate earnings forecasts unbiased and efficient?," Review of Quantitative Finance and Accounting, Springer, vol. 45(4), pages 803-818, November.
  46. Jiang, Fuwei & Lee, Joshua & Martin, Xiumin & Zhou, Guofu, 2019. "Manager sentiment and stock returns," Journal of Financial Economics, Elsevier, vol. 132(1), pages 126-149.
  47. Grupp, Marcel & Rauch, Christian & Umber, Marc P. & Walz, Uwe, 2015. "The influence of leveraged buyouts on target firms' competitors," SAFE Working Paper Series 99, Leibniz Institute for Financial Research SAFE.
  48. Ball, Ray & Sadka, Gil, 2015. "Aggregate earnings and why they matter," Journal of Accounting Literature, Elsevier, vol. 34(C), pages 39-57.
  49. Boudoukh, Jacob & Israel, Ronen & Richardson, Matthew, 2022. "Biases in long-horizon predictive regressions," Journal of Financial Economics, Elsevier, vol. 145(3), pages 937-969.
  50. Jorgensen, Bjorn & Li, Jing & Sadka, Gil, 2012. "Earnings dispersion and aggregate stock returns," Journal of Accounting and Economics, Elsevier, vol. 53(1), pages 1-20.
  51. S. P. Kothari & Charles Wasley, 2019. "Commemorating the 50‐Year Anniversary of Ball and Brown (1968): The Evolution of Capital Market Research over the Past 50 Years," Journal of Accounting Research, Wiley Blackwell, vol. 57(5), pages 1117-1159, December.
  52. Lin, Qi & Lin, Xi, 2021. "Cash conversion cycle and aggregate stock returns," Journal of Financial Markets, Elsevier, vol. 52(C).
  53. Pedro Bordalo & Nicola Gennaioli & Rafael La Porta & Andrei Shleifer, 2020. "Belief Overreaction and Stock Market Puzzles," NBER Working Papers 27283, National Bureau of Economic Research, Inc.
  54. Khan, Mozaffar, 2008. "Are accruals mispriced Evidence from tests of an Intertemporal Capital Asset Pricing Model," Journal of Accounting and Economics, Elsevier, vol. 45(1), pages 55-77, March.
  55. Sanjay Sehgal & Kumar Bijoy, 2015. "Stock Price Reactions to Earnings Announcements: Evidence from India," Vision, , vol. 19(1), pages 25-36, March.
  56. Seo, Hojun, 2021. "Peer effects in corporate disclosure decisions," Journal of Accounting and Economics, Elsevier, vol. 71(1).
  57. Yaniv Konchitchki & Yan Luo & Mary L. Z. Ma & Feng Wu, 2016. "Accounting-based downside risk, cost of capital, and the macroeconomy," Review of Accounting Studies, Springer, vol. 21(1), pages 1-36, March.
  58. Mohammad Alomari & Abdel Razzaq Al rababa’a & Ghaith El-Nader & Ahmad Alkhataybeh, 2021. "Who’s behind the wheel? The role of social and media news in driving the stock–bond correlation," Review of Quantitative Finance and Accounting, Springer, vol. 57(3), pages 959-1007, October.
  59. Wang, Qingxia & Faff, Robert & Zhu, Min, 2022. "Realized moments and the cross-sectional stock returns around earnings announcements," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 408-427.
  60. Konchitchki, Yaniv & Patatoukas, Panos N., 2014. "Accounting earnings and gross domestic product," Journal of Accounting and Economics, Elsevier, vol. 57(1), pages 76-88.
  61. Patricia Chelley‐Steeley & Neophytos Lambertides & Christos S. Savva, 2019. "Sentiment, order imbalance, and co‐movement: An examination of shocks to retail and institutional trading activity," European Financial Management, European Financial Management Association, vol. 25(1), pages 116-159, January.
  62. Neeraj J. Gupta & Vitaliy Strohush & Reilly White, 2019. "Investor reaction to simultaneous news releases: unemployment vs. earnings," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(4), pages 735-749, October.
  63. Kothari, S.P. & Ramanna, Karthik & Skinner, Douglas J., 2010. "Implications for GAAP from an analysis of positive research in accounting," Journal of Accounting and Economics, Elsevier, vol. 50(2-3), pages 246-286, December.
  64. Konchitchki, Yaniv, 2013. "Accounting and the Macroeconomy: The Case of Aggregate Price-Level Effects on Individual Stocks," MPRA Paper 52934, University Library of Munich, Germany.
  65. Hirshleifer, David & Hou, Kewei & Teoh, Siew Hong, 2007. "Accruals and Aggregate Stock Market Returns," MPRA Paper 5197, University Library of Munich, Germany.
  66. William M. Cready & Umit G. Gurun, 2010. "Aggregate Market Reaction to Earnings Announcements," Journal of Accounting Research, Wiley Blackwell, vol. 48(2), pages 289-334, May.
  67. Panos Patatoukas & Hongjun Yan, 2009. "The Impact of Earnings Surprises on Stock Returns: Theory and Evidence," Yale School of Management Working Papers amz2517, Yale School of Management.
  68. Wensheng Kang & Jing Wang, 2021. "Corporate tax effects of economic policy uncertainty," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(S1), pages 2577-2600, April.
  69. Chen, An-Sing & Cheng, Lee-Young & Cheng, Kuang-Fu, 2009. "Intrinsic bubbles and Granger causality in the S&P 500: Evidence from long-term data," Journal of Banking & Finance, Elsevier, vol. 33(12), pages 2275-2281, December.
  70. Sebastine Abhus Ogbaisi & Eyesan Leslie Dabor & Okun Omokhoje Omokhudu, 2022. "Earnings surprise and share price of firms in Nigeria," Future Business Journal, Springer, vol. 8(1), pages 1-11, December.
  71. Jin, Justin Y. & Ma, Mary L.Z. & Song, Victor & Guo, Mengyang, 2021. "Banks’ loan charge-offs and macro-level risk," Journal of Behavioral and Experimental Finance, Elsevier, vol. 32(C).
  72. Hui Guo & Xiaowen Jiang, 2011. "Accruals and the Conditional Equity Premium," Journal of Accounting Research, Wiley Blackwell, vol. 49(1), pages 187-221, March.
  73. Svetlozar Rachev & Frank J. Fabozzi & Boryana Racheva-Iotova & Abootaleb Shirvani, 2017. "Option Pricing with Greed and Fear Factor: The Rational Finance Approach," Papers 1709.08134, arXiv.org, revised Mar 2020.
  74. Jang, In Ji & Kang, Namho & Yezegel, Ari, 2022. "Common ownership, price informativeness, and corporate investment," Journal of Banking & Finance, Elsevier, vol. 135(C).
  75. Richardson, Scott & Tuna, Irem & Wysocki, Peter, 2010. "Accounting anomalies and fundamental analysis: A review of recent research advances," Journal of Accounting and Economics, Elsevier, vol. 50(2-3), pages 410-454, December.
  76. Mark Wong & Adrian Wai Kong Cheung & Wei Hu, 2021. "When two anomalies meet: Volume and timing effects on earnings announcements," The Financial Review, Eastern Finance Association, vol. 56(2), pages 355-380, May.
  77. Borhan Sayedy & Mohd Zulkifli Ghazali, 2017. "The Impact of Microeconomic Variables on Stock Return by Moderating of Money Supply," Asian Social Science, Canadian Center of Science and Education, vol. 13(12), pages 191-191, December.
  78. Ray Ball & Gil Sadka & Ronnie Sadka, 2009. "Aggregate Earnings and Asset Prices," Journal of Accounting Research, Wiley Blackwell, vol. 47(5), pages 1097-1133, December.
  79. Lakshmanan Shivakumar, 2010. "Discussion of Aggregate Market Reaction to Earnings Announcements," Journal of Accounting Research, Wiley Blackwell, vol. 48(2), pages 335-342, May.
  80. Stephanie F. Cheng, 2021. "The Information Externality of Public Firms’ Financial Information in the State‐Bond Secondary Market," Journal of Accounting Research, Wiley Blackwell, vol. 59(2), pages 529-574, May.
  81. Gil Sadka, 2007. "Understanding Stock Price Volatility: The Role of Earnings," Journal of Accounting Research, Wiley Blackwell, vol. 45(1), pages 199-228, March.
  82. Syed Aliya Zahera & Rohit Bansal, 2018. "Do investors exhibit behavioral biases in investment decision making? A systematic review," Qualitative Research in Financial Markets, Emerald Group Publishing Limited, vol. 10(2), pages 210-251, May.
  83. Aboody, David & Hughes, John S. & Bugra Ozel, N., 2014. "Corporate bond returns and the financial crisis," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 42-53.
  84. Maria Ogneva, 2013. "Discussion of What Do Management Earnings Forecasts Convey About the Macroeconomy?," Journal of Accounting Research, Wiley Blackwell, vol. 51(2), pages 267-279, May.
  85. Jasper de Jong, 2018. "The effect of fiscal announcements on interest spreads: Evidence from the Netherlands," DNB Working Papers 584, Netherlands Central Bank, Research Department.
  86. Enno Mammen & Jens Perch Nielsen & Michael Scholz & Stefan Sperlich, 2019. "Conditional Variance Forecasts for Long-Term Stock Returns," Risks, MDPI, vol. 7(4), pages 1-22, November.
  87. Long Chen & Zhi Da & Borja Larrain, 2016. "What Moves Investment Growth?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 48(8), pages 1613-1653, December.
  88. Benjamin Carl Anderson & Stoyu I Ivanov, 2019. "Study of the impact of the Great Recession on the relation between earnings surprises and stock returns," Economics Bulletin, AccessEcon, vol. 39(2), pages 1118-1126.
  89. Tsalavoutas, Ioannis & Tsoligkas, Fanis, 2021. "Uncertainty avoidance and stock price informativeness of future earnings," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
  90. John M. Barrios & Marco Fasan & Daniele Macciocchi, 2013. "CEO turnover, earnings management and value relevance. A theoretical analysis on the Italian context," Working Papers 11, Department of Management, Università Ca' Foscari Venezia.
  91. Gallo, Lindsey A. & Hann, Rebecca N. & Li, Congcong, 2016. "Aggregate earnings surprises, monetary policy, and stock returns," Journal of Accounting and Economics, Elsevier, vol. 62(1), pages 103-120.
  92. Yaniv Konchitchki, 2016. "Accounting Valuation and Cost of Capital Dynamics: Theoretical and Empirical Macroeconomic Aspects. Discussion of Callen," Abacus, Accounting Foundation, University of Sydney, vol. 52(1), pages 26-34, March.
  93. Fahd Alduais, 2020. "An empirical study of the earnings–returns association: an evidence from China’s A-share market," Future Business Journal, Springer, vol. 6(1), pages 1-12, December.
  94. Wang, Xinyue & Cao, Yuqiang & Feng, Zhuoan & Lu, Meiting & Shan, Yaowen, 2023. "Local FinTech development and stock price crash risk," Finance Research Letters, Elsevier, vol. 53(C).
  95. Vinay Goyal & Subrata K. Mitra, 2022. "Is the asymmetric impact of aggregate revenue and aggregate earnings on the stock index in accordance with the prospect theory?," International Review of Finance, International Review of Finance Ltd., vol. 22(1), pages 200-222, March.
  96. John S. Howe & Emre Unlu & Xuemin (Sterling) Yan, 2009. "The Predictive Content of Aggregate Analyst Recommendations," Journal of Accounting Research, Wiley Blackwell, vol. 47(3), pages 799-821, June.
  97. Shevlin, Terry & Shivakumar, Lakshmanan & Urcan, Oktay, 2019. "Macroeconomic effects of corporate tax policy," Journal of Accounting and Economics, Elsevier, vol. 68(1).
  98. Heater, John C. & Nallareddy, Suresh & Venkatachalam, Mohan, 2021. "Aggregate accruals and market returns: The role of aggregate M&A activity," Journal of Accounting and Economics, Elsevier, vol. 72(2).
  99. Narayan, Paresh Kumar & Bannigidadmath, Deepa & Narayan, Seema, 2021. "How much does economic news influence bilateral exchange rates?," Journal of International Money and Finance, Elsevier, vol. 115(C).
  100. Rapach, David E. & Ringgenberg, Matthew C. & Zhou, Guofu, 2016. "Short interest and aggregate stock returns," Journal of Financial Economics, Elsevier, vol. 121(1), pages 46-65.
  101. Chelley-Steeley, Patricia & Lambertides, Neophytos & Savva, Christos S., 2015. "The effect of security and market order flow shocks on co-movement," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 39(C), pages 136-155.
  102. Penman, Stephen & Zhu, Julie, 2022. "An accounting-based asset pricing model and a fundamental factor," Journal of Accounting and Economics, Elsevier, vol. 73(2).
  103. Yuto Yoshinaga, 2016. "Market-Wide Cost of Capital Impacts on the Aggregate Earnings-Returns Relation: Evidence from Japan," The Japanese Accounting Review, Research Institute for Economics & Business Administration, Kobe University, vol. 6, pages 95-122, December.
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