Using monthly and quarterly cross-sectional dispersion in firm level earnings news as a proxy for investor uncertainty about the implications of current aggregate earnings for future discount rates, I find that higher investor uncertainty leads to a lower stock market reaction to aggregate...

We reexamine the time-series properties and determinants of the relation between aggregate earnings and returns (earnings response coefficient, ERC) employing return decompositions with longer historical data. We find that aggregate ERC is time-varying, above and beyond the evidence documented...

This paper examines the profits of revenue, earnings, and price momentum strategies in an attempt to understand investor reactions when facing multiple information of firm performance in various scenarios. We first offer evidence that there is no dominating momentum strategy among the revenue,...

In this paper, I empirically test the conservatism effect of Barberis, Shleifer and Vishny (1998). Conditioning on a shock to quarterly earnings, firms ranking in the top (bottom) earnings shock quintile exhibit substantial price momentum over the next three-month periods following the initial...

This study aims to determine the impact of inflation, Earning per Share (EPS), Price Earnings Ratio (PER) on stock prices. This study was conducted in one of the Food and Beverage Industry companies listed in Indonesia Stock Exchange (IDX), namely PT. Siantar Top Tbk during the period 2010-2016....