search query: @author Mendenhall, R.R. / total: 1
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Author: | Mendenhall, R.R. |
Title: | How naïve is the market's use of firm-specific earnings information? |
Journal: | Journal of Accounting Research
2002 : JUN, VOL. 40:3, p. 841-863 |
Index terms: | Earnings Market information |
Language: | eng |
Abstract: | Recent results indicate that the apparent delay in the stock-price response to earnings announcements is caused by investors who underestimate the autocorrelation of seasonally-differenced earnings (persistence). The author presents results that indicate that: 1) a company's future persistence is predictable on the basis of its past persistence, 2) the immediate stock-price response to earnings is positively related to historical persistence, 3) post-earnings announcements drift is independent of historical persistence and 4) consistent with 2) and 3), the difference between a company's current observed persistence and that implied in stock prices is independent of its historical persistence. |
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