Showing 1 - 10 of 20
Persistent link: https://www.econbiz.de/10003962355
We examine the relationship between analyst research and corporate earnings announcements to explore the relative importance of information discovery versus interpretation of previously released information. Using equity market reaction to capture information content, we find that information...
Persistent link: https://www.econbiz.de/10013070458
Persistent link: https://www.econbiz.de/10003776805
Persistent link: https://www.econbiz.de/10002823542
Motivated from investment-based asset pricing, we propose a new factor model consisting of the market factor, a size factor, an investment factor, and a return on equity factor. The new factor model outperforms the Carhart four-factor model in pricing portfolios formed on earnings surprise,...
Persistent link: https://www.econbiz.de/10013099823
Motivated from investment-based asset pricing, we propose a new factor model that consists of the market factor, a size factor, an investment factor, and a return-on-equity factor. The new model [i] outperforms the Carhart (1997) four-factor model in pricing portfolios formed on earnings...
Persistent link: https://www.econbiz.de/10009697761
Persistent link: https://www.econbiz.de/10009665928
Persistent link: https://www.econbiz.de/10003751577
Persistent link: https://www.econbiz.de/10003746210
Persistent link: https://www.econbiz.de/10011337567