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| Tekijä: | Teets, W. R. Wasley, C. E. |
| Otsikko: | Estimating earnings response coefficients: Pooled versus firm-specific models |
| Lehti: | Journal of Accounting & Economics
1996 : JUN, VOL. 21:3, p. 279-295 |
| Asiasana: | CAPITAL MARKETS EARNINGS TIME SERIES |
| Kieli: | eng |
| Tiivistelmä: | Short-window earnings response coefficients estimated from pooled time-series cross-sectional regressions are systematically smaller than corresponding averages of firm-specific coefficients estimated from time-series regressions. The cause is a negative relation between firm-specific earnings response coefficients and unexpected earnings variances. If the hypotheses of equality of firm-specific coefficients and equality of firm-specific unexpected earnings variances are rejected, firm-specific estimation should be used instead of pooled estimation. Using pooled estimation may lead to incorrect inferences about the magnitude of estimated coefficients and/or incorrect inferences about differences in coefficient behavior between groups of firms. |
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