Previous studies state that the value relevance of earnings information has declined over time, based on decreasing ERCs and R2s. This paper demonstrates that measurement error bias is a major factor that drives these results when using earnings changes as a proxy for unexpected earnings. The...

This study reexamines the evidence underlying the prior conclusion that investors overreact to accruals accruals are negatively associated with subsequent abnormal returns (i.e., the accrual anomaly). This study shows that the two features of the research design used to document the accrual...