The primary question addressed in this study is whether firm-specific ERCs - i.e., slope coefficients obtained from time-series regressions of abnormal returns on earnings surprises - are helpful in predicting price responses to future earnings surprises. Fundamental analysis involves both...

We investigate the possibility that earnings response coefficients (ERCs) are increasing in total risk (i.e., the sum of systematic and unsystematic risk). As in prior risk-ERC studies, we model firm value by discounting expected dividends at risk adjusted rates. We argue that ERCs increase with...

This paper presents evidence that prices of firms followed by sell-side analysts and favored by institutional investors incorporate future earnings earlier than prices of other firms. Our tests are based on regressions of year t abnormal returns on earnings changes from years t-1, t, and t+1. We...

This paper presents evidence that the positive association between firm size and price leads of earnings is not solely a function of private search incentives for firm-specific information. Specifically, we find that small-firm prices also lag large-firm prices with respect to industry-wide...

This paper presents evidence that the positive association between firm size and price leads of earnings is not solely a function of private search incentives for firm-specific information. Specifically, we find that small-firm prices also lag large-firm prices with respect to industry-wide...

This study compares the effects of the industry-wide and firm-specific components of earnings on the timing of security returns relative to fiscal periods. Our first hypothesis argues that information relevant to predicting industry trends in earnings is available earlier than information...