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Accrual Reversals, Earnings and Stock Returns

Allen, Eric J. - 2015

demonstrate that the majority of these accrual reversals relate to ‘good' accruals that: (i) correctly anticipate future benefits … persistence of the accrual component of earnings and associated mispricing documented in Sloan (1996) are driven by a combination … of accruals related to firm growth and accrual estimation error …

Persistent link: https://www.econbiz.de/10013039311

Earnings Beta

Ellahie, Atif - 2020

The literature on ‘cash flow' or ‘earnings' beta is theoretically well-motivated in its use of fundamentals, instead of returns, to measure systematic risk. However, empirical measures of earnings beta based on either log-linearizing the return equation or log-linearizing the clean-surplus...

Persistent link: https://www.econbiz.de/10012832530

The Disappearing Earnings Announcement Premium

Heitz, Amanda - 2020

The earnings announcement premium, whereby a stock earns abnormal returns over its earnings announcement period, has been the subject of extensive research. We provide the first evidence that this premium has disappeared in the US in recent years. We show that the increased filings of material...

Persistent link: https://www.econbiz.de/10012850714

Earnings Announcements : Ex-Ante Risk Premia

Liu, Hong; Mao, Yingdong; Tang, Xiaoxiao; Zhou, Guofu - 2023

In this paper, we provide an estimate of the ex-ante risk premia on earnings announcements based on the option market. We find that the risk premia are time-varying and have predictive power on future stock returns. With our ex-ante risk premia as a measure of uncertainty before each earnings...

Persistent link: https://www.econbiz.de/10014261968

High Accruals Momentum

Hao, Xiaoting - 2019

We examine the information content of high accruals momentum defined as a string of high discretionary accruals for four consecutive years. We find that firms that consistently report high levels of discretionary accruals experience low subsequent returns. The results are robust after we control...

Persistent link: https://www.econbiz.de/10012899177

The Earnings Forecasting Relevance of Accruals – Saudi Evidence

Habib, Wesam Mohamed - 2015

I apply Wang's (2012) earnings forecasting framework to examine if the lower persistence of accruals in an unrestricted model of earnings dynamics (UM) implies the superiority of a restricted model (RM). In particular, I specify reported earnings in terms of respective expected earnings of UM...

Persistent link: https://www.econbiz.de/10013028251

Non-diversifiable volatility risk and risk premiums at earnings announcements

Barth, Mary E.; So, Eric - 2013

This study seeks to determine whether earnings announcements pose non-diversifiable volatility risk that commands a risk premium. We find that investors anticipate some earnings announcements to convey news that increases market return volatility and pay a premium to hedge this non-diversifiable...

Persistent link: https://www.econbiz.de/10010205852

Post Earnings Announcement Drift, a Price Signal?

Messias, Julien - 2015

This paper investigates the robustness of post-earnings-announcement-drift (PEAD) on a price signal perspective, unlike the traditional literature that focuses on fundamental signal. The studied period is 2003-2015, for four main US indices. The results suggest that some economic agents are too...

Persistent link: https://www.econbiz.de/10013021921

Asymmetric Decrease in Liquidity Trading before Earnings Announcements and the Announcement Return Premium

Levi, Shai - 2015

Investors are reluctant to trade in the high-information-asymmetry days before earnings announcements. We show that the decrease in liquidity trading before announcements is asymmetric. We analyze buy and sell orders of investors with passive investment strategies, and find they do not reduce...

Persistent link: https://www.econbiz.de/10013036009

Volatility Spreads and Earnings Announcement Returns

Atilgan, Yigit - 2015

Prior research documents that volatility spreads predict stock returns. If the trading activity of informed investors is an important driver of volatility spreads, then the predictability of stock returns should be more pronounced during major information events. This paper investigates whether...

Persistent link: https://www.econbiz.de/10013039227