This paper develops a simple integrated model of firm's earnings cash flows and accruals that generates serial and cross-correlation predictions for those series. The model assumes sales follow E random walk costs are either variable or fixed and traditional accounting working capital accruals....

What does it mean to assert that the CAPM is quot;dead?quot; Like Fama and French (1995), we focus on the practical issue of whether betas defined with respect to commonly-employed market proxies provide useful information about expected returns. The possibility that a more comprehensive market...

We assess earnings lack of timeliness and value- irrelevant noise in earnings as explanations for the weak contemporaneous return-earnings association. Earnings lack timeliness because objectivity, verifiability, and conservatism conventions underlie the accounting measurement process. Noise in...