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Earnings Quality and Stock Returns
Chan, Konan - 2001
An exclusive focus on bottom-line income misses important information about the quality of earnings. Accruals (the difference between accounting earnings and cash flow) are reliably, negatively associated with future stock returns. Earnings increases that are accompanied by high accruals,...
Persistent link: https://www.econbiz.de/10012470416
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Earnings and Dividend Announcements is there a Corroboration Effect?
Kane, Alex - 1983
We examine abnormal stock returns surrounding contemporaneous earnings and dividend announcements in order to determine whether investors evaluate the two announcements in relation to each other.We find that there is a statistically significant interaction effect.The abnormal return...
Persistent link: https://www.econbiz.de/10012477849
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Capital Gains Taxes and Stock Reactions to Quarterly Earnings Announcements
Blouin, Jennifer L. - 2000
This paper examines the impact of capital gains taxes on equity pricing. Examining three-day cumulative abnormal returns for quarterly earning announcements from 1983-1997, we present evidence consistent with shareholders' capital gains taxes affecting stock price responses. To our knowledge,...
Persistent link: https://www.econbiz.de/10012471123
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The Earnings Announcement Premium and Trading Volume
Lamont, Owen - 2007
On average, stock prices rise around scheduled earnings announcement dates. We show that this earnings announcement premium is large, robust, and strongly related to the fact that volume surges around announcement dates. Stocks with high past announcement period volume earn the highest...
Persistent link: https://www.econbiz.de/10012465564
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Macro News and Micro News : Complements or Substitutes?
Hirshleifer, David - National Bureau of Economic Research - 2021
We study how the arrival of macro-news affects the stock market's ability to incorporate the information in firm-level earnings announcements. Existing theories suggest that macro and firm-level earnings news are attention substitutes; macro-news announcements crowd out firm-level attention,...
Persistent link: https://www.econbiz.de/10012585415
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A Theory of Firm Characteristics and Stock Returns : The Role of Investment-Specific Shocks
Kogan, Leonid - 2012
We provide a theoretical model linking firm characteristics and expected returns. The key ingredient of our model is technological shocks embodied in new capital (IST shocks), which affect the profitability of new investments. Firms' exposure to IST shocks is endogenously determined by the...
Persistent link: https://www.econbiz.de/10012460684
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Monetary Policy without Moving Interest Rates : The Fed Non-Yield Shock
Boehm, Christoph E.; Kroner, T. Niklas - National Bureau of Economic Research - 2024
-announcement times. We use a heteroskedasticity-based procedure to estimate a "Fed non-yield shock", which is orthogonal to yield changes … and is identified from excess volatility in the S&P 500 and various dollar exchange rates. A positive non-yield shock …-yield shock is essentially uncorrelated with previous monetary policy shocks and its effects are large in comparison. Its strong …
Persistent link: https://www.econbiz.de/10014576665
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The Stock Market's Reaction to Unemployment News : Why Bad News is Usually Good for Stocks
Boyd, John H. - 2001
We find that on average an announcement of rising unemployment is 'good news' for stocks during economic expansions and 'bad news' during economic contractions. Thus stock prices usually increase on news of rising unemployment, since the economy is usually in an expansion phase. We provide an...
Persistent link: https://www.econbiz.de/10012470637
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Investor Reaction to Salient News in Closed-End Country Funds
Klibanoff, Peter - 1996
We provide a model of closed-end fund pricing which includes investors who do not form expectations correctly and allows for salient country-specific news to affect this expectation formation process. We use panel data on prices and net asset values of closed- end country funds to examine...
Persistent link: https://www.econbiz.de/10012473260
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No News is Good News : An Asymmetric Model of Changing Volatility in Stock Returns
Campbell, John Y. - 1991
It is sometimes argued that an increase in stock market volatility raises required stock returns, and thus lowers stock prices. This paper modifies the generalized autoregressive conditionally heteroskedastic (GARCH) model of returns to allow for this volatility feedback effect. The resulting...
Persistent link: https://www.econbiz.de/10012475263