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Directional Aggregate Earnings News And Market Returns
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Book Synopsis Directional Aggregate Earnings News and Market Returns by : Debjeet Pradhan
Download or read book Directional Aggregate Earnings News and Market Returns written by Debjeet Pradhan and published by . This book was released on 2014 with total page 158 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this study, I examine the properties of positive and negative aggregate earnings changes and how they relate to contemporaneous market returns. I find that the negative relationship between aggregate earnings news and market returns, documented in Kothari et al. (2006) and Cready and Gurun (2010), is driven primarily by bad news observations. I also find that negative aggregate earnings changes mean revert in the two quarters following the negative aggregate earnings changes quarter. Market returns increase contemporaneously with negative aggregate earnings news, suggesting that investors incorporate the expectation of mean reversion for negative aggregate earnings changes in subsequent quarters. As a result, the aggregate earnings news market returns relationship is negative when aggregate earnings news is negative. When aggregate earnings news is positive, I find that market returns are positively associated with aggregate earnings news. Since aggregate earnings news consists of cash flow and discount rate news components, each having an opposite direction effect on market return, the cash flow news component dominates the discount rate news component when aggregate earnings news is positive, while the discount rate news component dominates the cash flow news component when aggregate earnings news is negative.
Book Synopsis Aggregate Earnings, Stock Market Returns and Macroeconomic Activity by : Lakshmanan Shivakumar
Download or read book Aggregate Earnings, Stock Market Returns and Macroeconomic Activity written by Lakshmanan Shivakumar and published by . This book was released on 2007 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: Anilowski, Feng and Skinner (Journal of Accounting and Economics, 2006, this issue) examine the relationship between aggregate earnings guidance, aggregate earnings news and market returns. They provide evidence that changes in aggregate proportions of downward or upward earnings guidance are associated with aggregate earnings news and weakly associated with market returns. However, the study is unable to establish causality or the precise nature of the relationship between aggregate earnings guidance and market returns. To better understand the relationship, this paper analyses the relation between aggregate earnings, stock market returns and the macroeconomy. I empirically document that aggregate earnings primarily contain information about future inflation. This inflation information in aggregate earnings causes aggregate earnings to be negatively correlated with stock returns. The paper concludes with suggestions for future research.
Book Synopsis Does Earnings Guidance Affect Market Returns? The Nature and Information Content of Aggregate Earnings Guidance by : Carol Anilowski Cain
Download or read book Does Earnings Guidance Affect Market Returns? The Nature and Information Content of Aggregate Earnings Guidance written by Carol Anilowski Cain and published by . This book was released on 2007 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate whether earnings guidance affects aggregate stock returns through its effects on expectations about overall earnings performance and/or aggregate expected returns. We find that aggregate guidance, especially relative levels of quarterly downward guidance, is associated with analyst- and time-series-based measures of aggregate earnings news. We find more modest evidence that guidance, again, largely downward guidance, is associated with market returns - market returns appear to respond to guidance toward the end of each calendar quarter, when most earnings preannouncements are released, and there is some evidence that firm-level guidance affects market returns in short windows around its release.
Book Synopsis Market Return and Aggregate Earnings News by : William M. Cready
Download or read book Market Return and Aggregate Earnings News written by William M. Cready and published by . This book was released on 2009 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: A recent analysis by Kothari, Lewellen and Warner(2006) report negative relations between aggregate earnings surprise and market return in quarterly earnings disclosure and reporting periods and no evidence of a positive relation between aggregate earnings and market return in any post-disclosure quarters. In this analysis we develop approaches aimed at better isolating aggregate earning's news component and find strong evidence of a positive relation between aggregate earnings surprise and return in the quarter following the earnings disclosure quarter. This pattern is consistent with the market not fully incorporating discount rate shock and cash flow implications of aggregate earnings in the disclosure period.
Book Synopsis Stock Returns, Aggregate Earnings Surprises, and Behavioral Finance by : Jonathan Lewellen
Download or read book Stock Returns, Aggregate Earnings Surprises, and Behavioral Finance written by Jonathan Lewellen and published by . This book was released on 2009 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the stock market reaction to aggregate earnings news. Previous research shows that, for individual firms, stock prices react positively to earnings news but require several quarters to fully reflect the information in earnings. We find that the relation between returns and earnings is substantially different in aggregate data. First, returns are unrelated to past earnings, suggesting that prices neither underreact nor overreact to aggregate earnings news. Second, aggregate returns are negatively correlated with concurrent earnings; over the last 30 years, stock prices increased 6.5% in quarters with negative earnings growth and only 1.9% otherwise. This finding suggests that earnings and discount rates move together over time, and provides new evidence that discount-rate shocks explain a significant fraction of aggregate stock returns.
Book Synopsis Trading on Corporate Earnings News by : John Shon
Download or read book Trading on Corporate Earnings News written by John Shon and published by FT Press. This book was released on 2011-03-09 with total page 225 pages. Available in PDF, EPUB and Kindle. Book excerpt: Profit from earnings announcements, by taking targeted, short-term option positions explicitly timed to exploit them! Based on rigorous research and huge data sets, this book identifies the specific earnings-announcement trades most likely to yield profits, and teaches how to make these trades—in plain English, with real examples! Trading on Corporate Earnings News is the first practical, hands-on guide to profiting from earnings announcements. Writing for investors and traders at all experience levels, the authors show how to take targeted, short-term option positions that are explicitly timed to exploit the information in companies’ quarterly earnings announcements. They first present powerful findings of cutting-edge studies that have examined market reactions to quarterly earnings announcements, regularities of earnings surprises, and option trading around corporate events. Drawing on enormous data sets, they identify the types of earnings-announcement trades most likely to yield profits, based on the predictable impacts of variables such as firm size, visibility, past performance, analyst coverage, forecast dispersion, volatility, and the impact of restructurings and acquisitions. Next, they provide real examples of individual stocks–and, in some cases, conduct large sample tests–to guide investors in taking advantage of these documented regularities. Finally, they discuss crucial nuances and pitfalls that can powerfully impact performance.
Book Synopsis Stock Returns, Aggregate Earnings Surprises, and Behavioral Finance by : S. P. Kothari
Download or read book Stock Returns, Aggregate Earnings Surprises, and Behavioral Finance written by S. P. Kothari and published by . This book was released on 2003 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the stock market reaction to aggregate earnings news. Previous research shows that, for individual firms, stock prices react positively to earnings news but require several quarters to fully reflect the information in earnings. We find that the relation between returns and earnings is substantially different in aggregate data. First, returns are unrelated to past earnings, suggesting that prices neither underreact nor overreact to aggregate earnings news. Second, aggregate returns are negatively correlated with concurrent earnings; over the last 30 years, stock prices increased 6.5% in quarters with negative earnings growth and only 1.9% otherwise. This finding suggests that earnings and discount rates move together over time, and provides new evidence that discount-rate shocks explain a significant fraction of aggregate stock returns. JEL Classification: G12, G14, M41.
Book Synopsis Aggregate Earnings Surprises, Monetary Policy, and Stock Returns by : Lindsey A. Gallo
Download or read book Aggregate Earnings Surprises, Monetary Policy, and Stock Returns written by Lindsey A. Gallo and published by . This book was released on 2016 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines whether the negative association between aggregate earnings and returns is explained by the monetary policy news in aggregate earnings. Using Federal funds futures data to construct a measure of policy news, we find that aggregate earnings convey information about the Fed's policy actions. Additionally, the negative aggregate earnings-returns association is muted when we control for policy surprises. This result is more pronounced in periods with negative policy surprises, which tend to trigger a more significant market reaction. Taken together, these results suggest that aggregate earnings convey policy news and the market reacts negatively to policy surprises, which drives the negative aggregate earnings-returns association.
Book Synopsis Aggregate Earnings and Market Returns by : Wen He
Download or read book Aggregate Earnings and Market Returns written by Wen He and published by . This book was released on 2016 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: Kothari, Lewellen and Warner (2006) document that in the U.S. market aggregate earnings changes are negatively related to contemporaneous market returns. This is puzzling given the well-documented evidence that firm-level earnings changes are positively related to stock returns. In this study we use a sample of 28 countries to provide international evidence on this important issue. In pooled cross-country and time-series regressions, we find that aggregate earnings changes are positively associated with contemporaneous market returns. When we run time-series regressions of market returns on aggregate earnings changes for each country, we find only four countries have negative coefficients for aggregate earnings changes and none of these negative coefficients are statistically significant. This evidence contrasts the U.S. evidence. Furthermore aggregate earnings exhibits substantial persistence, suggesting current earnings convey information about future earnings. Finally we find that the earnings-returns relation at aggregate becomes less positive in countries with more transparent accounting disclosure. This result supports the argument proposed by Sadka and Sadka (2009) that predictability of aggregate earnings leads to the negative relation between aggregate earnings and market returns in the U.S.
Book Synopsis Aggregate Market Reaction to Earnings Announcements by : Umit G. Gurun
Download or read book Aggregate Market Reaction to Earnings Announcements written by Umit G. Gurun and published by . This book was released on 2009 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper identifies a distinct immediate announcement period negative relation between earnings announcement surprises and aggregate market returns. Such a relation implies that market participants use earnings information in forming expectations about expected aggregate discount rates and, specifically, that good earnings news is associated with a positive shock to required returns. We also find some evidence that this negative relation persists well beyond the immediate announcement period, suggesting that market participants do not immediately fully impound these future market return implications of aggregate earnings news.
Book Synopsis Individual Investor Trading and Return Patterns Around Earnings Announcements by :
Download or read book Individual Investor Trading and Return Patterns Around Earnings Announcements written by and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper documents evidence consistent with informed trading by individual investors around earnings announcements using a unique dataset of NYSE stocks. We show that intense aggregate individual investor buying (selling) predicts large positive (negative) abnormal returns on and after earnings announcement dates. We decompose the abnormal returns into a component that is attributed to risk-averse liquidity provision and a component that is attributed to private information or skill, and show that about half of the abnormal returns in the three months following the event can be attributed to private information. We also examine the behavior of individuals after the earnings announcement and find that they trade in the opposite direction to both pre-event returns (i.e., exhibit "contrarian" behavior) and the earnings surprise (i.e., exhibit "news-contrarian" behavior). The latter behavior, which could be consistent with profit-taking, has the potential to slow down the adjustment of prices to earnings news and contribute to the post-earnings announcement drift.
Book Synopsis Is the U.S. Unique? International Evidence on the Aggregate Earnings-Returns Association by : Lindsey A. Gallo
Download or read book Is the U.S. Unique? International Evidence on the Aggregate Earnings-Returns Association written by Lindsey A. Gallo and published by . This book was released on 2018 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: We exploit differences in institutional and macroeconomic environments to shed light on what drives variation in the aggregate earnings-returns relation over time within the U.S. and across countries. We find that both intertemporal and cross-country variation in the aggregate earnings-returns association are driven primarily by two factors, namely, the monetary policy news conveyed in aggregate earnings and the market reaction to that news, which suggest that the strength of the discount rate news channel plays an important role in explaining the aggregate earnings-returns relation both within and outside of the U.S. We further find that institutional characteristics have a significant effect on the information content of aggregate earnings and hence on the aggregate earnings-returns association--aggregate earnings are more informative about policy changes in countries with stronger investor protection and greater accounting transparency. Overall, our study provides new evidence on what drives the aggregate earnings-returns relation across the globe.
Book Synopsis Herding on Earnings News by : Linda H. Chen
Download or read book Herding on Earnings News written by Linda H. Chen and published by . This book was released on 2018 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the role of institutional investors underlying post-earnings-announcement drift (PEAD). Our results show that while institutional investors generally herd on earnings news, such correlated trading among institutions does not eliminate or reduce market underreaction to earnings surprises. Instead, PEAD is significant only in the subsample of stocks where institutions herd in the same direction as earnings surprises. In fact, institutional herding is also positively related to next-quarter earnings announcement returns. We provide evidence that institutional herding on or against earnings news is largely driven by firm characteristics, particularly past firm performance and stock returns. In addition, we find that relative to non-transient institutions, transient institutions have a stronger tendency to herd on earnings information. Finally, based on long-run stock returns, we show that when institutions herd on earnings surprises, institutional trading represents a gradual process of incorporating information into stock prices. On the other hand, when institutions herd against earnings surprises, institutional trading slows down stock price discovery.
Book Synopsis Is Guidance a Macro Factor? the Nature and Information Content of Aggregate Earnings Guidance by : Carol Anilowski Cain
Download or read book Is Guidance a Macro Factor? the Nature and Information Content of Aggregate Earnings Guidance written by Carol Anilowski Cain and published by . This book was released on 2007 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: Although a great deal of research documents the information content of management earnings forecasts at the firm level, there is little research on the informativeness of aggregate earnings guidance. We argue that aggregate earnings guidance is potentially informative at the market/economy level through its effects on expectations about market-level expected future cash flows and expected returns. We find that aggregate guidance, especially relative levels of quarterly downward guidance, is associated with analyst- and time-series-based measures of aggregate earnings news. We also find some evidence that guidance - again, largely downward guidance - is associated with market returns.
Book Synopsis Handbook of Media Economics, vol 1B by : Simon P. Anderson
Download or read book Handbook of Media Economics, vol 1B written by Simon P. Anderson and published by Elsevier. This book was released on 2016-01-29 with total page 257 pages. Available in PDF, EPUB and Kindle. Book excerpt: Handbook of Media Economics provides valuable information on a unique field that has its own theories, evidence, and policies. Understanding the media is important for society, and while new technologies are altering the media, they are also affecting our understanding of their economics. The book spans the large scope of media economics, simultaneously offering in-depth analysis of particular topics, including the economics of why media are important, how media work (including financing sources, institutional settings, and regulation), what determines media content (including media bias), and the effects of new technologies. The book provides a powerful introduction for those interested in starting research in media economics. Helps academic and non-academic economists understand recent rapid changes in theoretical and empirical advances, in structural empirical methods, and in the media industry's connection with the democratic process Presents the only detailed summary of media economics that emphasizes political economy, merger policy, and competition policy Pays special attention to the economic influences of the Internet, including developments in social media, user-generated content, and advertising, as well as the Internet's effects on newspapers, radio, and television
Book Synopsis Applications of Computational Intelligence in Data-Driven Trading by : Cris Doloc
Download or read book Applications of Computational Intelligence in Data-Driven Trading written by Cris Doloc and published by John Wiley & Sons. This book was released on 2019-11-05 with total page 313 pages. Available in PDF, EPUB and Kindle. Book excerpt: “Life on earth is filled with many mysteries, but perhaps the most challenging of these is the nature of Intelligence.” – Prof. Terrence J. Sejnowski, Computational Neurobiologist The main objective of this book is to create awareness about both the promises and the formidable challenges that the era of Data-Driven Decision-Making and Machine Learning are confronted with, and especially about how these new developments may influence the future of the financial industry. The subject of Financial Machine Learning has attracted a lot of interest recently, specifically because it represents one of the most challenging problem spaces for the applicability of Machine Learning. The author has used a novel approach to introduce the reader to this topic: The first half of the book is a readable and coherent introduction to two modern topics that are not generally considered together: the data-driven paradigm and Computational Intelligence. The second half of the book illustrates a set of Case Studies that are contemporarily relevant to quantitative trading practitioners who are dealing with problems such as trade execution optimization, price dynamics forecast, portfolio management, market making, derivatives valuation, risk, and compliance. The main purpose of this book is pedagogical in nature, and it is specifically aimed at defining an adequate level of engineering and scientific clarity when it comes to the usage of the term “Artificial Intelligence,” especially as it relates to the financial industry. The message conveyed by this book is one of confidence in the possibilities offered by this new era of Data-Intensive Computation. This message is not grounded on the current hype surrounding the latest technologies, but on a deep analysis of their effectiveness and also on the author’s two decades of professional experience as a technologist, quant and academic.
Book Synopsis Handbook of Media Economics by : Simon P. Anderson
Download or read book Handbook of Media Economics written by Simon P. Anderson and published by Elsevier. This book was released on 2015-11-17 with total page 820 pages. Available in PDF, EPUB and Kindle. Book excerpt: Handbook of Media Economics provides valuable information on a unique field that has its own theories, evidence, and policies. Understanding the media is important for society, and while new technologies are altering the media, they are also affecting our understanding of their economics. Chapters span the large scope of media economics, simultaneously offering in-depth analysis of particular topics, including the economics of why media are important, how media work (including financing sources, institutional settings, and regulation), what determines media content (including media bias), and the effects of new technologies. The volumes provide a powerful introduction for those interested in starting research in media economics. Helps academic and non-academic economists understand recent rapid changes in theoretical and empirical advances, in structural empirical methods, and in the media industry's connection with the democratic process Presents the only detailed summary of media economics that emphasizes political economy, merger policy, and competition policy Pays special attention to the economic influences of the Internet, including developments in social media, user-generated content, and advertising, as well as the Internet's effects on newspapers, radio, and television
