We model the dynamic survival of earnings fixated investors in a competitive securities market that allows for learning and arbitrage and that is populated by heterogeneous investors. Our model is distinct from those based on aggressive trading by overconfident investors. We prove that in the...

Using the Vuolteenaho (2002) variance decomposition methodology, this study assesses the relative value relevance of cash flow, accrual (earnings) and expected return news on SEC and preliminary earnings filing dates, as measured by their contribution to the volatility of unexpected returns....

This study investigates a large sample of financial statement restatements over the period 1986-2001, and compares restatements caused by changes in accounting principles to those caused by errors. Typically, investors perceive restatements as negative signals due to three potential reasons: (i)...

This paper tests the Feltham-Ohlson (1995) model by transforming the undefined quot;other informationquot; variables into expectational variables, as suggested by Liu and Ohlson (2000). The signs of the estimated coefficients conform to the model's predictions using panel data techniques,...

This paper examines the importance of foreign earnings relative to domestic earnings for a sample of U.S. multinationals using variance decomposition. Our methodology represents an alternative and complementary approach over the prior literature, which is based on traditional regressions and...

This paper extends the variance decomposition framework of Campbell (1991), Campbell and Ammer (1993) and Vuolteenaho (2002) to address the relative value relevance of accrual news, cash flow news and expected return news in driving firm-level equity returns. The extension is based on the...

This paper investigates the relation between the extent of a firm's past and expected future losses or negative cash flows and the ex ante probability that it will manipulate revenues. When a firm has a string of losses or negative cash flows, traditional valuation models do not yield reliable...

This study maintains that the value relevance of accounting information cannot be measured solely by reference to Ball-Brown (ERC) analysis. The contribution of accounting information to return volatility is equally crucial. Synthesizing and generalizing results from earlier studies, this paper...

The Enron-Andersen debacle provides a unique opportunity to investigate whether equity prices impound auditor reputation. We address this issue by comparing the daily stock returns of a sample of Andersen audit clients with those of a control sample of big five non-Andersen audit clients during...

This pedagogical note introduces the accounting-based variance decomposition methodology of Vuolteenaho (2002) in a relatively simple format for the edification of accounting scholars and Ph.D. students who wish to use variance decomposition in their research. In addition to presenting an...