Estimating earnings response coefficients: Pooled versus firm-specific models
Short-window earnings response coefficients estimated from pooled time-series cross-sectional regressions are systematically smaller than corresponding averages of firm-specific coefficients estimated from time-series regressions. The cause is a negative relation between firm-specific earnings respo...
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Veröffentlicht in: | Journal of accounting & economics 1996-06, Vol.21 (3), p.279-295 |
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Hauptverfasser: | , |
Format: | Artikel |
Sprache: | eng |
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Online-Zugang: | Volltext |
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Zusammenfassung: | Short-window earnings response coefficients estimated from pooled time-series cross-sectional regressions are systematically smaller than corresponding averages of firm-specific coefficients estimated from time-series regressions. The cause is a negative relation between firm-specific earnings response coefficients and unexpected earnings variances. If the hypotheses of equality of firm-specific coefficients and equality of firm-specific unexpected earnings variances are rejected, firm-specific estimation should be used instead of pooled estimation. Using pooled estimation may lead to incorrect inferences about the magnitude of estimated coefficients and/or incorrect inferences about differences in coefficient behavior between groups of firms. |
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ISSN: | 0165-4101 1879-1980 |
DOI: | 10.1016/0165-4101(96)00423-5 |