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Author: | Beneish, M. Harvey, C. |
Title: | Measurement error and nonlinearity in the earnings-return relation |
Journal: | Review of Quantitative Finance and Accounting
1998 : NOV, VOL. 11:3, p. 219-247 |
Index terms: | FINANCE ACCOUNTING MEASUREMENT |
Language: | eng |
Abstract: | There is a long history of research which examines the relation between unexpected earnings and unexpected returns on common stock. Early literature used simple linear regression models to describe this relation. Recently, a number of authors have proved nonlinear models. These authors find that the earnings-returns relation is approximately linear for small changes but is S-shaped globally. However, unexpected earnings are generated by the sum of a measurement error and a true earnings innovation. |
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