Essays On The Association Of Accounting Earnings With Security Returns
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Two Essays
Author | : Carolyn Streuly |
Publisher | : |
Total Pages | : 382 |
Release | : 1987 |
Genre | : Risk management |
ISBN | : |
Essays on the Relationship Between Stock Proces, Dividends and Accounting Earnings
Author | : Michael Constas |
Publisher | : |
Total Pages | : 320 |
Release | : 1994 |
Genre | : Corporate profits |
ISBN | : |
Essays on Earnings Response Coefficient
Author | : Krishnamoorthy Ramesh |
Publisher | : |
Total Pages | : 262 |
Release | : 1991 |
Genre | : Corporate profits |
ISBN | : |
Essays on the Relation Between Accounting Earnings and Stock Returns
Author | : Peng-Chia Chiu |
Publisher | : |
Total Pages | : 137 |
Release | : 2013 |
Genre | : |
ISBN | : 9781303167850 |
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.
Essays in Financial Economics
Author | : Rita Biswas |
Publisher | : Emerald Group Publishing |
Total Pages | : 168 |
Release | : 2019-10-24 |
Genre | : Business & Economics |
ISBN | : 1789733898 |
This volume, dedicated to John W. Kensinger, explores a variety of topics in financial economics, including firm growth, investment risks, and the profitability of the banking industry. With its global perspective, Essays in Financial Economics is a valuable addition to the bookshelf of any researcher in finance.
The Effect of Capital Structure on the Association Between Accounting Earnings Numbers and Security Returns
Author | : Allen William Bathke |
Publisher | : |
Total Pages | : 339 |
Release | : 1982 |
Genre | : Corporations |
ISBN | : |
Accounting Earnings Can Explain Most of Security Returns
Author | : Peter Douglas Easton |
Publisher | : |
Total Pages | : 31 |
Release | : 1990 |
Genre | : Stocks |
ISBN | : 9780646086972 |
Essays on Corporate Transparency and Governance Practices
Author | : Artyom A. Durnev |
Publisher | : |
Total Pages | : 620 |
Release | : 2003 |
Genre | : Business enterprises |
ISBN | : |