haku: @author Porter, S.L. / yhteensä: 1
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| Tekijä: | Elgers, P.T. Porter, S.L. Xu, L.E. |
| Otsikko: | The timing of industry and firm earnings information in security prices: A re-evaluation |
| Lehti: | Journal of Accounting & Economics
2008 : MAR, VOL. 45:1, p. 78-93 |
| Asiasana: | capital markets earnings investors industries pricing |
| Kieli: | eng |
| Tiivistelmä: | The study re-estimates evidence in Ayers and Freeman (Ayers, F., Freeman, R., 1997. Market assessment of industry and firm earnings information. Journal of Accounting and Economics 24, 205-218) and suggests that investors anticipate industry-wide components of earnings earlier than firm-specific components, and that post-earning announcement drift following annual earnings announcements is due primarily to firm-specific components of earnings. The tests show that post-announcement drift is entirely attributable to coefficient bias because of the measurement errors in the use of realized earnings changes as proxies for unexpected earnings. Moreover, coefficient differences in the market's anticipation of subsequent-year industry and firm-specific earnings become insignificant when the paper introduces suitable controls for non-linearity in the return / earnings relation. |
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