The accounting literature has traditionally focused on firm-level studies to examine the capital market implications of earnings and other accounting variables. We first develop the arguments for studying capital market implications at the aggregate level as well. A central issue is that...

<heading id="h1" level="1" implicit="yes" format="display">ABSTRACT</heading>We quantify the relative importance of earnings announcements in providing new information to the share market, using the "R"-super-2 in a regression of securities' calendar-year returns on their four quarterly earnings-announcement "window" returns. The "R"-super-2, which averages...