Author: Kenneth Randall Sutley
Publisher: Ann Arbor, Mich. : University Microfilms International
ISBN:
Category : Corporate profits
Languages : en
Pages : 228
Book Description
An Empirical Investigation Into the Relation Between Differential Annual Report Informativeness and the Association of Stock Returns with Accounting Earnings
Author: Kenneth Randall Sutley
Publisher: Ann Arbor, Mich. : University Microfilms International
ISBN:
Category : Corporate profits
Languages : en
Pages : 228
Book Description
Publisher: Ann Arbor, Mich. : University Microfilms International
ISBN:
Category : Corporate profits
Languages : en
Pages : 228
Book Description
Essays on the Relation Between Accounting Earnings and Stock Returns
Author: Peng-Chia Chiu
Publisher:
ISBN: 9781303167850
Category :
Languages : en
Pages : 137
Book Description
This dissertation includes three chapters, which are about empirical investigation of the return earnings relation. Chapter 1 explores the differential timing in stock price incorporation of industry and firm-specific earnings. I find that on average stock returns anticipate industry revenue and expense components earlier than the respective firm-specific components. Further analysis shows that the timing difference between industry versus firm-specific information about revenue or expense is inversely related to product market competition and accounting reporting quality. Additionally, the timing difference between industry versus firm-specific information about expense line-items varies across line-items. Overall, these results aid in our understanding of the price discovery process with respect to accounting earnings information. Chapter 2 examines a new dimension, the effect of seasonality, on the relation between expected earnings (EE) and subsequent price drift. The key finding is that the relation between EE proxied by analyst forecasts and future returns is positive in non-January months but negative in January. This reverse January relation is observed among different types of stocks, domestic and international markets, and cannot be explained away by other variables associated with January returns. Further analysis suggests that the reverse January relation is a result of a temporary price drift away from fundamental value. The results illustrate the importance of controlling for the calendar-time dimension when studying market efficiency with respect to expected earnings. Chapter 3 investigates whether seasonally-differenced quarterly gross margin, a component of earnings, predicts future stock returns incremental to previously documented pricing anomalies based on financial accounting variables. A long/short trading strategy based on the gross profit surprises yields monthly returns over 115 basis points and generates positive returns in 113 out of 136 calendar quarters spanning 1977-2010. Further analysis shows that the return spread is larger for firms in industries characterized by low levels of capital expenditures and R & D intensity. Since 2000, gross profit surprise hedge portfolios yield returns of 91 basis points per month compared to 42 basis points per month for earnings surprise-based hedge strategies. The results suggest that gross margin contains information about future core profitability that is incremental to reported earnings and that information is reflected in stock prices with a delay.
Publisher:
ISBN: 9781303167850
Category :
Languages : en
Pages : 137
Book Description
This dissertation includes three chapters, which are about empirical investigation of the return earnings relation. Chapter 1 explores the differential timing in stock price incorporation of industry and firm-specific earnings. I find that on average stock returns anticipate industry revenue and expense components earlier than the respective firm-specific components. Further analysis shows that the timing difference between industry versus firm-specific information about revenue or expense is inversely related to product market competition and accounting reporting quality. Additionally, the timing difference between industry versus firm-specific information about expense line-items varies across line-items. Overall, these results aid in our understanding of the price discovery process with respect to accounting earnings information. Chapter 2 examines a new dimension, the effect of seasonality, on the relation between expected earnings (EE) and subsequent price drift. The key finding is that the relation between EE proxied by analyst forecasts and future returns is positive in non-January months but negative in January. This reverse January relation is observed among different types of stocks, domestic and international markets, and cannot be explained away by other variables associated with January returns. Further analysis suggests that the reverse January relation is a result of a temporary price drift away from fundamental value. The results illustrate the importance of controlling for the calendar-time dimension when studying market efficiency with respect to expected earnings. Chapter 3 investigates whether seasonally-differenced quarterly gross margin, a component of earnings, predicts future stock returns incremental to previously documented pricing anomalies based on financial accounting variables. A long/short trading strategy based on the gross profit surprises yields monthly returns over 115 basis points and generates positive returns in 113 out of 136 calendar quarters spanning 1977-2010. Further analysis shows that the return spread is larger for firms in industries characterized by low levels of capital expenditures and R & D intensity. Since 2000, gross profit surprise hedge portfolios yield returns of 91 basis points per month compared to 42 basis points per month for earnings surprise-based hedge strategies. The results suggest that gross margin contains information about future core profitability that is incremental to reported earnings and that information is reflected in stock prices with a delay.
Empirical Investigation Into the Stock Market Reactions to Corporate Earnings Reports
Author: Hay Young Chung
Publisher:
ISBN:
Category :
Languages : en
Pages : 388
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 388
Book Description
An Empirical Investigation Into the Relationship Between the Value of Accounting Earnings Announcements and Equity Investor Endowment Sizes
Author: William Montgomery Cready
Publisher:
ISBN:
Category : Investments
Languages : en
Pages : 350
Book Description
Publisher:
ISBN:
Category : Investments
Languages : en
Pages : 350
Book Description
An Empirical Investigation of the Effect of Accounting Changes on Investor Behavior
Author: Richard E. Baker
Publisher:
ISBN:
Category : Accounting
Languages : en
Pages : 762
Book Description
Publisher:
ISBN:
Category : Accounting
Languages : en
Pages : 762
Book Description
American Doctoral Dissertations
Author:
Publisher:
ISBN:
Category : Dissertation abstracts
Languages : en
Pages : 784
Book Description
Publisher:
ISBN:
Category : Dissertation abstracts
Languages : en
Pages : 784
Book Description
Differential Stock Price Reaction to Inflation-adjusted Disclosures Under SFAS 33
Author: In-Man Song
Publisher:
ISBN:
Category :
Languages : en
Pages : 358
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 358
Book Description
An empirical investigation into the usefulness of accounting and market data in the forecasting of accounting earnings
Author: William S. Hopwood
Publisher:
ISBN:
Category : Accounting
Languages : en
Pages : 82
Book Description
Publisher:
ISBN:
Category : Accounting
Languages : en
Pages : 82
Book Description
An empirical investigation into the usefulness of accounting and market data in the forecasting of accounting earnings
Author: William Sterling Hopwood jr.
Publisher:
ISBN:
Category :
Languages : en
Pages : 82
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 82
Book Description
The Association Between Accounting Information and Stock Prices
Author: Mikael Runsten
Publisher: Stockholm School of Economics Efi Economic Research Institut
ISBN: 9789172584891
Category : Accounting
Languages : en
Pages : 363
Book Description
Publisher: Stockholm School of Economics Efi Economic Research Institut
ISBN: 9789172584891
Category : Accounting
Languages : en
Pages : 363
Book Description