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| Author: | Jeter, D. C. Chaney, P. K. |
| Title: | An empirical investigation of factors affecting the earnings association coefficient. |
| Journal: | Journal of Business Finance and Accounting
1992 : NOV, VOL. 19-6, p. 839-863 |
| Index terms: | EMPIRICAL RESEARCH RETURN ON INVESTMENT PROFITABILITY EARNINGS SECURITIES GEARING |
| Language: | eng |
| Abstract: | This paper examines firm-specific characteristics which influence the association between unexpected earnings and security returns. Cross-sectional variation in the coefficient on unexpected earnings regressed against security returns, measured over an annual (or longer) time period, is explored by two techniques, subset analysis and indicator variable analysis. Those factors which are found to influence the association include financial leverage, industry classification, and level of profitability. Specifically, evidence is presented that the association between reported earnings and security returns is stronger for firms with relatively high levels of profitability and firms with low debt to equity ratios. No evidence is found to support a systematic risk or earnings volatility effect. |
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