Let a process SI , ... ,ST obey the conditionally heteroskedastic equation St = Vt Et whcrc Et is a random noise and Vt is the volatility coefficient which in turn obeys an autoregression type equation log v t = w + a S t- l + nt with an additional noise nt. We consider the situation which the...

We study how earnings attributes affect investors expectations about future earnings reflected in market prices. We separate the current earnings contribution to the formation of future earnings expectations through a fictitious valuation incorporating expectations informed only by current...