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Can historical returns-earnings relations predict price responses to earnings news?

Author

Listed:
  • Robert Freeman

    ()

  • Adam Koch

    ()

  • Haidan Li

    ()

Abstract

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Suggested Citation

  • Robert Freeman & Adam Koch & Haidan Li, 2011. "Can historical returns-earnings relations predict price responses to earnings news?," Review of Quantitative Finance and Accounting, Springer, vol. 37(1), pages 35-62, July.
  • Handle: RePEc:kap:rqfnac:v:37:y:2011:i:1:p:35-62
    DOI: 10.1007/s11156-010-0194-z
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    References listed on IDEAS

    as
    1. Beneish, Messod D & Harvey, Campbell R, 1998. "Measurement Error and Nonlinearity in the Earnings-Returns Relation," Review of Quantitative Finance and Accounting, Springer, vol. 11(3), pages 219-247, November.
    2. repec:bla:joares:v:30:y:1992:i:2:p:185-209 is not listed on IDEAS
    3. Lipe, Robert C. & Bryant, Lisa & Widener, Sally K., 1998. "Do nonlinearity, firm-specific coefficients, and losses represent distinct factors in the relation between stock returns and accounting earnings?," Journal of Accounting and Economics, Elsevier, vol. 25(2), pages 195-214, May.
    4. repec:bla:joares:v:23:y:1985:i:1:p:21-36 is not listed on IDEAS
    5. Lee, Charles M C & Mucklow, Belinda & Ready, Mark J, 1993. "Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis," Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 345-374.
    6. Kothari, S. P., 2001. "Capital markets research in accounting," Journal of Accounting and Economics, Elsevier, vol. 31(1-3), pages 105-231, September.
    7. Yohn, Teri Lombardi, 1998. "Information Asymmetry around Earnings Announcements," Review of Quantitative Finance and Accounting, Springer, vol. 11(2), pages 165-182, September.
    8. Dechow, Patricia M., 1994. "Accounting earnings and cash flows as measures of firm performance : The role of accounting accruals," Journal of Accounting and Economics, Elsevier, vol. 18(1), pages 3-42, July.
    9. repec:bla:joares:v:34:y:1996:i::p:135-155 is not listed on IDEAS
    10. Bodnar, Gordon M. & Weintrop, Joseph, 1997. "The valuation of the foreign income of US multinational firms: a growth opportunities perspective," Journal of Accounting and Economics, Elsevier, vol. 24(1), pages 69-97, December.
    11. Mayer, Thomas, 1975. "Selecting Economic Hypotheses by Goodness of Fit," Economic Journal, Royal Economic Society, vol. 85(340), pages 877-883, December.
    12. Easton, Peter D. & Harris, Trevor S. & Ohlson, James A., 1992. "Aggregate accounting earnings can explain most of security returns : The case of long return intervals," Journal of Accounting and Economics, Elsevier, vol. 15(2-3), pages 119-142, August.
    13. Teets, Walter R. & Wasley, Charles E., 1996. "Estimating earnings response coefficients: Pooled versus firm-specific models," Journal of Accounting and Economics, Elsevier, vol. 21(3), pages 279-295, June.
    14. Kormendi, Roger & Lipe, Robert, 1987. "Earnings Innovations, Earnings Persistence, and Stock Returns," The Journal of Business, University of Chicago Press, vol. 60(3), pages 323-345, July.
    15. Brown, Stephen & Lo, Kin & Lys, Thomas, 1999. "Use of R2 in accounting research: measuring changes in value relevance over the last four decades," Journal of Accounting and Economics, Elsevier, vol. 28(2), pages 83-115, December.
    16. Collins, Daniel W. & Kothari, S. P., 1989. "An analysis of intertemporal and cross-sectional determinants of earnings response coefficients," Journal of Accounting and Economics, Elsevier, vol. 11(2-3), pages 143-181, July.
    17. Kallapur, Sanjay, 1994. "Dividend payout ratios as determinants of earnings response coefficients : A test of the free cash flow theory," Journal of Accounting and Economics, Elsevier, vol. 17(3), pages 359-375, May.
    18. Matthew C. Clayton & Jay C. Hartzell & Joshua Rosenberg, 2005. "The Impact of CEO Turnover on Equity Volatility," The Journal of Business, University of Chicago Press, vol. 78(5), pages 1779-1808, September.
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    Cited by:

    1. repec:kap:rqfnac:v:49:y:2017:i:4:d:10.1007_s11156-017-0619-z is not listed on IDEAS
    2. repec:eee:advacc:v:31:y:2015:i:1:p:42-54 is not listed on IDEAS

    More about this item

    Keywords

    Capital markets; Returns-earnings relations; M40; C20;

    JEL classification:

    • M40 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting - - - General
    • C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General

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