This article examines the relationship between aggregate earnings and returns (ERC) in a global context. We examine a broad international sample of countries which encompass markets with different levels of stock market development, shareholder protection and legal origin. Recent literature...

Prior research documents that volatility spreads predict stock returns. If the trading activity of informed investors is an important driver of volatility spreads, then the predictability of stock returns should be more pronounced during major information events. This paper investigates whether...

In this paper, we characterize the relative importance of two sources of fundamental market-wide news—large firms’ earnings announcements and macroeconomic releases. Our investigation is motivated by growing concerns in the financial community about the increasing impact of individual...

The literature on ‘cash flow' or ‘earnings' beta is theoretically well-motivated in its use of fundamentals, instead of returns, to measure systematic risk. However, empirical measures of earnings beta based on either log-linearizing the return equation or log-linearizing the clean-surplus...

We show that economic activity plays an important role in explaining momentum-based anomalies. A simple two-factor model containing the market and alternative indicators of economic activity as risk factors---industrial production, capacity utilization rate, retail sales, and a broad economic...

Using novel earnings calendar data, we show that firms' advanced scheduling of earnings announcement dates foreshadows their earnings news. Firms that schedule later-than-expected announcement dates subsequently announce worse news than those scheduling earlier-than-expected announcement dates....

The purpose of this paper is to analyse the predictability of earnings information before the quarterly disclosure date. Two categories of firms are contrasted: the firms that announce better quarterly earnings than the prior period and the firms that do not. The paper uses a sample of 67...

We present evidence of a predictable drift in stock prices before the earnings announcements of firms that announce their earnings later than other firms in their industry. We form portfolios based on the returns of later announcers that are implied by the abnormal returns of earlier announcers...

Using monthly and quarterly cross-sectional dispersion in firm level earnings news as a proxy for investor uncertainty about the implications of current aggregate earnings for future discount rates, I find that higher investor uncertainty leads to a lower stock market reaction to aggregate...

This research investigates Value Line short-horizon and long-horizon earnings and stock price forecasts. From 1987-1998, Value Line analysts issued optimistic quarterly and annual EPS forecasts. This is consistent with prior research showing that analysts generally issued upwardly biased...