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Delisting Returns and Their Effect on Accounting-Based Market Anomalies

Beaver, William H. - 2009

We show that tests of market efficiency are sensitive to the inclusion of delisting firm-years. When included, trading strategy returns based on anomaly variables can increase (for strategies based on earnings, cash flows and the book-to-market ratio) or decrease (for a strategy based on...

Persistent link: https://www.econbiz.de/10012721486

The Effects of Earnings and Firm Characteristics on Differential Interpretation of Earnings Announcements

Ahmed, Anwer S. - 2009

This study examines whether differential interpretation of earnings announcements is affected by earnings and firm characteristics. We find that Kandel and Pearson's (1995) forecast measures of differential interpretation are: 1) negatively related to earnings predictability, firm size, and...

Persistent link: https://www.econbiz.de/10012721531

Can Firm-Specific Models Predict Price Responses to Earnings News?

Freeman, Robert N. - 2009

The primary question addressed in this study is whether firm-specific ERCs - i.e., slope coefficients obtained from time-series regressions of abnormal returns on earnings surprises - are helpful in predicting price responses to future earnings surprises. Fundamental analysis involves both...

Persistent link: https://www.econbiz.de/10012721698

Agency Theory of Overvalued Equity as an Explanation for the Accrual Anomaly

Kothari, S.P. - 2009

We show that the agency theory of overvalued equity (see Jensen, 2005) rather than investors' fixation on accruals … explains the accrual anomaly, i.e., abnormal returns to an accrual trading strategy (see Sloan, 1996).Under the agency theory … returns.In addition, consistent with the predictions of the agency theory of overvalued equity, we find high, but not low …

Persistent link: https://www.econbiz.de/10012721710

Do Buy-Side Analysts Out-Perform the Sell-Side?

Groysberg, Boris - 2009

We examine the performance of buy-side analysts relative to that of the sell-side. Our tests show that buy-side analysts at a large investment firm make less optimistic stock recommendations than sell-side analysts, consistent with their facing fewer conflicts of interest. However, their...

Persistent link: https://www.econbiz.de/10012721736

Investment Performance of Residual Income Valuation Models on the German Stock Market

Jamin, Goesta - 2009

This paper analyses value-investing strategies based on the residual income valuation approach which has become popular due to the work of Ohlson (1995) and Feltham and Ohlson (1995) for the German stock market. Plenty of empirical evidence shows that it is possible to earn positive abnormal...

Persistent link: https://www.econbiz.de/10012721759

The Usefulness of Accounting Estimates for Predicting Cash Flows and Earnings

Li, Siyi - 2009

Estimates and projections are embedded in most financial statement items. These estimates potentially improve the relevance of financial information by providing managers the means to convey to investors forward-looking, inside information (e.g., on future collections from customers via the bad...

Persistent link: https://www.econbiz.de/10012721782

Small Trader Reactions to Consecutive Earnings Surprises : A Market Test of Behavioral Theory*

Shanthikumar, Devin M. - 2009

Several analytical models explain post-earnings-announcement drift, momentum and mean-reversion by making assumptions about investor behavior. They posit that investors react more strongly as a series of similar earnings surprises continues. Related literature suggests that behavior should vary...

Persistent link: https://www.econbiz.de/10012721989

Small and Large Trades Around Earnings Announcements : Does Trading Behavior Explain Post-Earnings-Announcement Drift?

Shanthikumar, Devin M. - 2009

This paper analyzes trade-initiation by small and large traders for one year following earnings announcements and examines the predictive ability of event-time trading for future returns. With earnings surprises based on a seasonal random walk expectations model, small traders react slightly...

Persistent link: https://www.econbiz.de/10012721990

Stock Returns, Aggregate Earnings Surprises, and Behavioral Finance

Lewellen, Jonathan - 2009

We study the stock market reaction to aggregate earnings news. Previous research shows that, for individual firms, stock prices react positively to earnings news but require several quarters to fully reflect the information in earnings. We find that the relation between returns and earnings is...

Persistent link: https://www.econbiz.de/10012722033

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