Journal article
An analysis of intertemporal and cross-sectional determinants of earnings response coefficients
Journal of accounting & economics, Vol.11(2), pp.143-181
07/01/1989
DOI: 10.1016/0165-4101(89)90004-9
Abstract
Stock pride change associated with a given unexpected earnings change (the earnings response coefficient) exhibits cross-sectional and temporal variation. We predict and document evidence that the earnings response coefficient is a function of riskless interest rates and the riskiness, growth and/or persistence of earnings. The earnings response coefficient also varies cross-sectionally with the holding period return interval. Collectively, our results explain the previously reported differential earnings response coefficient with respect to size. Moreover, by including the factors noted above, the empirical specification of the earnings/returns relation is significantly improved.
Details
- Title: Subtitle
- An analysis of intertemporal and cross-sectional determinants of earnings response coefficients
- Creators
- Daniel W. Collins - University of IowaS.P. Kothari - University of Rochester
- Resource Type
- Journal article
- Publication Details
- Journal of accounting & economics, Vol.11(2), pp.143-181
- DOI
- 10.1016/0165-4101(89)90004-9
- ISSN
- 0165-4101
- eISSN
- 1879-1980
- Publisher
- Elsevier B.V
- Number of pages
- 39
- Language
- English
- Date published
- 07/01/1989
- Academic Unit
- Accounting
- Record Identifier
- 9984963044202771
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