We study how earnings attributes affect investors expectations about future earnings reflected in market prices. We separate the current earnings contribution to the formation of future earnings expectations through a fictitious valuation incorporating expectations informed only by current...

Estimators of regression coefficients are known to be asymptotically normally distributed, provided certain regularity conditions are satisfied. In small samples and if the noise is not normally distributed, this can be a poor guide to the quality of the estimators. The paper addresses this...