An analysis of intertemporal and cross-sectional determinants of earnings response coefficients
Stock pride change associated with a given unexpected earnings change (the earnings response coefficient) exhibits cross-sectional and temporal variation. We predict and document evidence that the earnings response coefficient is a function of riskless interest rates and the riskiness, growth and/or...
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| Veröffentlicht in: | Journal of accounting & economics 1989-07, Vol.11 (2), p.143-181 |
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| container_end_page | 181 |
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| container_title | Journal of accounting & economics |
| container_volume | 11 |
| creator | Collins, Daniel W. Kothari, S.P. |
| description | Stock pride change associated with a given unexpected earnings change (the earnings response coefficient) exhibits cross-sectional and temporal variation. We predict and document evidence that the earnings response coefficient is a function of riskless interest rates and the riskiness, growth and/or persistence of earnings. The earnings response coefficient also varies cross-sectionally with the holding period return interval. Collectively, our results explain the previously reported differential earnings response coefficient with respect to size. Moreover, by including the factors noted above, the empirical specification of the earnings/returns relation is significantly improved. |
| doi_str_mv | 10.1016/0165-4101(89)90004-9 |
| format | Article |
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| fulltext | fulltext |
| identifier | ISSN: 0165-4101 |
| ispartof | Journal of accounting & economics, 1989-07, Vol.11 (2), p.143-181 |
| issn | 0165-4101 1879-1980 |
| language | eng |
| recordid | cdi_proquest_miscellaneous_839221714 |
| source | RePEc; Periodicals Index Online; ScienceDirect Journals (5 years ago - present) |
| subjects | CAPM Earnings Economic models Economic theory Mathematical models Regression analysis Return on equity Security prices Statistical analysis Studies |
| title | An analysis of intertemporal and cross-sectional determinants of earnings response coefficients |
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