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Dynamic Response of Equity Market Returns to Corporate Profit Growth Shock

Sum, Vichet - 2013

This study investigates how returns on the S&P 500 (SP) dynamically respond to the aggregate corporate profit growth … (CP) shock. The results from running the VAR model using quarterly data from 1951Q4 to 2012Q4 shows that returns on the SP … significantly and positively respond to the CP shock instantly in the first quarter and retreat back to the zero territory …

Persistent link: https://www.econbiz.de/10013078332

Dynamic Response of Market Dividend Yield and Price-to-Earnings Ratio to Corporate Profit Growth Shock

Sum, Vichet - 2014

corporate profit growth (CP) shock. Using the VAR model to analyze quarterly data from 1951Q4 to 2012Q4, the results show that … both DY and PE significantly drop immediately following the shock to the CP. The Granger-causality Wald tests show that CP …

Persistent link: https://www.econbiz.de/10013063364

Temperature Shocks and Industry Earnings News

Addoum, Jawad M. - 2019

Climate scientists project a rise in both average temperatures and the frequency of temperature extremes. We study how extreme temperatures affect companies' earnings across different industries and whether sell-side analysts understand these relationships. We combine granular daily data on...

Persistent link: https://www.econbiz.de/10012860026

International Diversification, SFAS 131, and Post-Earnings Announcement Drift

Kang, Tony - 2017

Using 1990 through 2013 data of U.S. firms with foreign operations, we show that (1) the serial correlation of analyst forecast errors increases to the degree that firms diversify internationally, (2) post-earnings-announcement drift (PEAD) based on analyst forecast errors increases to the...

Persistent link: https://www.econbiz.de/10012968824

Contraction Options : Implications for the Profitability-Return Relation and Momentum Profits

Shim, Kyung Hwan - 2015

We develop a firm valuation model with repeated expansion and contraction options to show operating profitability is a proxy for time-varying systematic risk. Relative to riskier assets, the proportionate value of contraction options increase as profitability falls, lowering the firm beta....

Persistent link: https://www.econbiz.de/10013026825

Earnings Quality

Nissim, Doron - 2021

This monograph provides a thorough review of earnings quality issues and analysis. Its primary objectives are to help gain a deep understanding of earnings quality and facilitate the development of comprehensive, granular, and contextual earnings quality indicators and analyses. While there are...

Persistent link: https://www.econbiz.de/10013234184

The Effect of Voluntary Disclosure on Firm Risk and Firm Value : Evidence from Management Earnings Forecasts

Foerster, Stephen R. - 2013

This study investigates whether the voluntary disclosure of management earnings forecasts influences investors' assessment of firm risk and firm value. We find a significant negative relationship between the issuance of management earnings forecasts and a variety of measures of firm risk...

Persistent link: https://www.econbiz.de/10013088706

Firm Complexity and Post-Earnings-Announcement Drift

Barinov, Alexander - 2020

We show that the post earnings announcement drift (PEAD) is stronger for conglomerates thansingle-segment firms. Conglomerates, on average, are larger than single segment firms, so it isunlikely that limits-to-arbitrage drive the difference in PEAD. Rather, we hypothesize that marketparticipants...

Persistent link: https://www.econbiz.de/10012856855

Income Smoothing and the Cost of Debt

Li, Si - 2017

Existing literature on income smoothing primarily focuses on the effect of earnings smoothing on the equity market. This paper investigates the effect of income smoothing on the debt market. Using the Tucker-Zarowin (TZ) statistic of income smoothing, we find that firms with higher income...

Persistent link: https://www.econbiz.de/10012976506

The More We Know About Fundamentals, the Less We Agree on Price : Evidence from Earnings Announcements

Gallo, Lindsey A. - 2017

Can an earnings announcement decrease disagreement about fundamentals while simultaneously increasing disagreement about price? Recent theory suggests the presence of short-horizon investors can lead to a polarization of higher-order beliefs about price (i.e., beliefs regarding the opinions of...

Persistent link: https://www.econbiz.de/10012961117