haku: @author Ball, R. / yhteensä: 60
viite: 4 / 60
| Tekijä: | Ball, R. Bartov, E. |
| Otsikko: | How naive is the stock market's use of earnings information? |
| Lehti: | Journal of Accounting & Economics
1996 : JUN, VOL. 21:3, p. 319-337 |
| Asiasana: | CAPITAL MARKETS TIME SERIES INVESTMENT |
| Kieli: | eng |
| Tiivistelmä: | Rendleman, Jones, and Latan (1987) and Bernard and Thomas (1990) hypothesize and report evidence that investors use a "naive" seasonal random walk model, at lest in part, for quarterly earnings. We show that the market acts as if it: (1) does not use a simple seasonal ramdom walk model; (2) does exploit serial correlation at lags 1-4 in seasonally-differenced quarterly earnings; (3) does use the correct signs in exploiting serial correlation at each lag; but (4) underestimates the magnitude of serial correlation by approximately 50% on average. We discuss the consistency of alternative hypotheses with our evidence. |
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