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Author : Mark J. Myring
Publisher :
ISBN 13 :
Total Pages : 314 pages
Book Rating : 4.:/5 (48 download)
Download or read book The Relationship Between Returns and Unexpected Earnings written by Mark J. Myring and published by . This book was released on 2001 with total page 314 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Joyce W. Njoroge
Publisher :
ISBN 13 :
Total Pages : 190 pages
Book Rating : 4.:/5 (58 download)
Download or read book Comparing the Association Between Cumulative Abnormal Returns and Unexpected Earnings for Firms with Different Types of Investors written by Joyce W. Njoroge and published by . This book was released on 2001 with total page 190 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jeesu Kim
Publisher :
ISBN 13 :
Total Pages : 86 pages
Book Rating : 4.:/5 (48 download)
Download or read book The Association Between Security Returns and Unexpected Earnings for High and Low Capital Intensity Firms written by Jeesu Kim and published by . This book was released on 1998 with total page 86 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Sudipta Basu
Publisher :
ISBN 13 :
Total Pages : 12 pages
Book Rating : 4.:/5 (13 download)
Download or read book Discussion -- The Effect of Risk on Price Responses to Unexpected Earnings written by Sudipta Basu and published by . This book was released on 2016 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: Chambers, Freeman and Koch test to see whether earnings response coefficients (ERCs), or stock returns per unit of unexpected earnings, are increasing in total risk. They generate this prediction from a model in which the sensitivity of dividend expectations to earnings news increases in total risk. They document a strong positive relation between ERCs and total risk, after controlling for variation in systematic risk and persistence. They do not find the negative relation between ERCs and systematic risk that prior ERC research had predicted and documented.I examine in turn the two central questions that Chambers, Freeman and Koch pose: (a) Which kind of risk do ERCs reflect: systematic, idiosyncratic or both (total)? and (b) Is the relation between ERCs and risk positive, zero or negative? I argue that accounting researchers' inability to find a relation between ERCs and systematic risk is no surprise, given that modern finance research cannot document a relation between systematic risk and stock returns. I point out recent empirical work suggesting that earnings news has both numerator and denominator effects. I argue that the many research design differences between the current paper and previous ERC papers make it difficult to evaluate how much measurement error or model misspecification contributes to the different findings. I review recent empirical and theoretical finance research on idiosyncratic risk to place the paper's findings in a broader context. Finally, I suggest avenues for further research.
Author : Ed Easterling
Publisher :
ISBN 13 :
Total Pages : 302 pages
Book Rating : 4.3/5 ( download)
Download or read book Unexpected Returns written by Ed Easterling and published by . This book was released on 2005 with total page 302 pages. Available in PDF, EPUB and Kindle. Book excerpt: Before you read any how-to investment books or seek financial advice, read Unexpected Returns, the essential resource for investors and investment professionals who want to understand how and why the financial markets are not the same now as they were in the 1980s and 1990s. In addition to explaining the fundamentals, this book takes you on a graphic journey through the seasons of the market, tying together economics and finance to explain the stock market's cycles. Using comprehensive full-color charts and graphs, it offers an in-depth exploration of what has changed over the past five years - and what you can do about it to avoid disappointment with your investments. This unique combination of investment science and investment art will enable you to differentiate between irrational hope and a rational view of the current financial markets. Based on years of meticulous research, it provides the sensible conclusions that will drive your future investment choices and give you the confidence to rely on your investment outlook, whatever your financial strategy. Book jacket.
Author : Chul W. Park
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Abnormal Profitability and Investment, and Their Links to Return-Earnings Relations written by Chul W. Park and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Investments in operating assets are expected to generate future profits. Hence, security prices should reflect changes in investors' expectations about the growth and profitability of such investments. Yet, the accounting literature focuses on the security return-earnings relation without paying much attention to investment. We develop a model formalizing our intuition about the value relevance of investment beyond earnings. We then derive empirical predictions that (1) unexpected investment jointly with the expected abnormal rate of profitability has value implications beyond unexpected earnings, and (2) investment drift jointly with the unexpected abnormal rate of profitability has value implications beyond unexpected earnings. We test the model using 11,403 firm-year observations spanning 19 years. The results provide strong support for the predictions. Further, the interactions between inventory investment and abnormal profitability have more significant value implications than those between plant investment and abnormal profitability.
Author : Daqing Dave Qi
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book The Effects of Nonlinear Returns-Earnings Relation on Empirical Research written by Daqing Dave Qi and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper first investigates the relation between stock returns and accounting earnings under the assumption that the function that maps unexpected earnings into stock returns is nonlinear and then examines what are the likely effects of not controlling for such non-linearity on empirical studies that assume a linear returns-earnings relation. A parsimonious nonlinear model is developed and used to analyze the effects of the non-linearity in the returns-earnings relation on empirical studies. Annual data are used for hypothesis testing and statistical analysis is based on the intertemporal distribution of coefficients from annual regressions.
Author : Suwardjono
Publisher :
ISBN 13 :
Total Pages : 172 pages
Book Rating : 4.:/5 (397 download)
Download or read book The Impact of Accounting Methods on the Association Between Unexpected Earnings and Abnormal Returns written by Suwardjono and published by . This book was released on 1997 with total page 172 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Reza Espahbodi
Publisher :
ISBN 13 :
Total Pages : 35 pages
Book Rating : 4.:/5 (129 download)
Download or read book On the Factors Influencing Return-Earnings Relationship written by Reza Espahbodi and published by . This book was released on 2000 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: Many studies have attempted to identify firm specific characteristics that influence the return-earnings relationship. The R-squared reported in these studies, however, are generally low and the earnings response coefficients are less than the theoretical value. Three factors have contributed to the low R-squared and the varying estimates of the earnings response coefficients: (1) violation of the OLS regression assumptions, particularly the linearity assumption, (2) omission of important (and correlated) variables, and (3) subjective specification of what variables (and interaction terms) to include in the earnings response regression.This study attempts to avoid these problems. Specifically, I examine all firm-specific characteristics that are known to influence the relationship between earnings and security return. This reduces the likelihood of an omitted correlated variable problem. More importantly, I use the recursive partitioning technique developed by Breiman et al. (1984), thus avoiding the subjectivity in specifying the earnings response regression model as well as the problems resulting from the distributional assumptions of the ordinary regression analysis.The recursive partitioning analysis indicates that five factors - size, market to book, earnings predictability, earnings persistence, and book value per share - affect the return-earnings relationship either individually and/or in interaction with each other and unexpected earnings. When included in the earnings response regression, these factors and their interactions explain a large percentage of the cross-sectional variations in return. Sensitivity tests are performed for alternate return windows and measure of earnings.
Author : Neil Lawrence Fargher
Publisher :
ISBN 13 :
Total Pages : 118 pages
Book Rating : 4.:/5 (32 download)
Download or read book The Association Between Unexpected Earnings and Capital Expenditure written by Neil Lawrence Fargher and published by . This book was released on 1992 with total page 118 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Leonard Zacks
Publisher : John Wiley & Sons
ISBN 13 : 1118127765
Total Pages : 352 pages
Book Rating : 4.1/5 (181 download)
Download or read book The Handbook of Equity Market Anomalies written by Leonard Zacks and published by John Wiley & Sons. This book was released on 2011-08-24 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investment pioneer Len Zacks presents the latest academic research on how to beat the market using equity anomalies The Handbook of Equity Market Anomalies organizes and summarizes research carried out by hundreds of finance and accounting professors over the last twenty years to identify and measure equity market inefficiencies and provides self-directed individual investors with a framework for incorporating the results of this research into their own investment processes. Edited by Len Zacks, CEO of Zacks Investment Research, and written by leading professors who have performed groundbreaking research on specific anomalies, this book succinctly summarizes the most important anomalies that savvy investors have used for decades to beat the market. Some of the anomalies addressed include the accrual anomaly, net stock anomalies, fundamental anomalies, estimate revisions, changes in and levels of broker recommendations, earnings-per-share surprises, insider trading, price momentum and technical analysis, value and size anomalies, and several seasonal anomalies. This reliable resource also provides insights on how to best use the various anomalies in both market neutral and in long investor portfolios. A treasure trove of investment research and wisdom, the book will save you literally thousands of hours by distilling the essence of twenty years of academic research into eleven clear chapters and providing the framework and conviction to develop market-beating strategies. Strips the academic jargon from the research and highlights the actual returns generated by the anomalies, and documented in the academic literature Provides a theoretical framework within which to understand the concepts of risk adjusted returns and market inefficiencies Anomalies are selected by Len Zacks, a pioneer in the field of investing As the founder of Zacks Investment Research, Len Zacks pioneered the concept of the earnings-per-share surprise in 1982 and developed the Zacks Rank, one of the first anomaly-based stock selection tools. Today, his firm manages U.S. equities for individual and institutional investors and provides investment software and investment data to all types of investors. Now, with his new book, he shows you what it takes to build a quant process to outperform an index based on academically documented market inefficiencies and anomalies.
Author : Ki Choong Han
Publisher :
ISBN 13 :
Total Pages : 318 pages
Book Rating : 4.3/5 (129 download)
Download or read book Market Response to Earnings Announcements written by Ki Choong Han and published by . This book was released on 1990 with total page 318 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Philip Roger Regier
Publisher :
ISBN 13 :
Total Pages : 186 pages
Book Rating : 4.:/5 (175 download)
Download or read book The Differential Effects of Unexpected Permanent and Transitory Earnings Changes on Equity Returns written by Philip Roger Regier and published by . This book was released on 1987 with total page 186 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Lawrence D. Brown
Publisher :
ISBN 13 :
Total Pages : 35 pages
Book Rating : 4.:/5 (129 download)
Download or read book An Evaluation of Alternative Proxies for the Market's Assessment of Unexpected Earnings written by Lawrence D. Brown and published by . This book was released on 2014 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examines the association between abnormal returns and five alternative proxies for the market's assessment of unexpected quarterly earnings. We examine the role that measurement error potentially has in multiple regression tests of abnormal returns (occurring around the time of earnings announcements) on an unexpected earnings proxy and other non-earnings variables. The results indicate a potential measurement error interpretation of such multiple regression tests. We examine three procedures which reduce, to an unknown degree, the measurement error problem. Our procedures appear to be more (less) effective at reducing measurement error for small (large) firms and recent (non-recent) forecasts.
Author : Ross L. Watts
Publisher :
ISBN 13 : 9789867491138
Total Pages : 388 pages
Book Rating : 4.4/5 (911 download)
Download or read book Positive Accounting Theory written by Ross L. Watts and published by . This book was released on 2004 with total page 388 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Philip Roger Regier
Publisher :
ISBN 13 :
Total Pages : 186 pages
Book Rating : 4.:/5 (318 download)
Download or read book The Differential Effects of Unexpected Permanent and Transistory Earnings Changes on Equity Returns written by Philip Roger Regier and published by . This book was released on 1987 with total page 186 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Kenneth Reichelt
Publisher :
ISBN 13 :
Total Pages : 134 pages
Book Rating : 4.:/5 (718 download)
Download or read book Investor Uncertainty and the Earnings-return Relation written by Kenneth Reichelt and published by . This book was released on 2005 with total page 134 pages. Available in PDF, EPUB and Kindle. Book excerpt:
