How naive is the stock market's use of earnings information?

Journal of Accounting and Economics

Volumn 21, Issue 3, 1996, Pages 319-337

  Ball, Ray ^a   Bartov, Eli ^b  

^a UNIVERSITY OF ROCHESTER   (United States)

^b NEW YORK UNIVERSITY   (United States)

Author keywords

Anomalies; Capital markets; Time series forecasts

Indexed keywords

EID: 0030170359     PISSN: 01654101     EISSN: None     Source Type: Journal    
DOI: 10.1016/0165-4101(96)00420-X     Document Type: Article

References (40)

1. Atiase, R.K., 1985, Predisclosure information, firm capitalization and security price behavior around earnings announcements, Journal of Accounting Research 23, 21-36.
2. Bae, G.S., J.S. Hughes, and B. Lee, 1995, Investor perceptions of earnings processes and post-announcement drifts, Manuscript (Duke University, Durham, NC).
3. Ball, R., 1978, Anomalies in relationships between securities' yields and yield-surrogates, Journal of Financial Economics 6, 103-126.
4. Ball, R., 1992, The earnings-price anomaly, Journal of Accounting and Economics 15, 319-345.
5. Ball, R. and E. Bartov, 1995, The earnings event-time seasonal and the calendar-time seasonal in stock returns: Naive use of earnings information or announcement timing effect?, Journal of Accounting, Auditing and Finance 10, 677-698.
6. Ball, R. and P. Brown, 1968, An empirical evaluation of accounting income numbers, Journal of Accounting Research 6, 159-178.
7. Ball, R. and S.P. Kothari, 1989, Nonstationary expected returns: Implications for tests of market efficiency and serial correlation in returns, Journal of Financial Economics 25, 51-74.
8. Ball, R. and R. Watts, 1972, Some time series properties of accounting income, Journal of Finance 27, 663-682.
9. Ball, R., S.P. Kothari, and J. Shanken, 1995, Problems in measuring portfolio performance: An application to contrarian investment strategies, Journal of Financial Economics 38, 79-107.
10. Bartov, E., 1992, Patterns in unexpected earnings as an explanation for post-announcement drift, The Accounting Review 67, 610-622.
11. Bernard, V.L., 1993, Stock price reactions to earnings announcements: A summary of recent anomalous evidence and possible explanations, in: R. Thaler, ed., Advances in behavioral finance (Russell Sage Foundation, New York, NY).
12. Bernard, V.L. and J.K. Thomas, 1989, Post-earnings-announcement drift: Delayed price response or risk premium, Journal of Accounting Research 27 (Suppl.), 1-36.
13. Bernard, V.L. and J.K. Thomas, 1990, Evidence that stock prices do not fully reflect the implications of current earnings for future earnings, Journal of Accounting and Economics 13, 305-340.
14. Bernard, V.L., J.K. Thomas, and J.S. Abarbanell, 1993, How sophisticated is the market in interpreting earnings news?, Journal of Applied Corporate Finance 6 (Summer), 54-63.
15. Brown, L. and M. Rozeff, 1979, Univariate time-series models of quarterly earnings per share: A proposed model, Journal of Accounting Research 17, 179-189.
16. Brown, P. and J.W. Kennelly, 1972, The information content of quarterly earnings: An extension and some further evidence, Journal of Business 45, 403-415.
17. Brown, S.J. and P.F. Pope, 1995, Post-earnings announcement drift?, Manuscript (Lancaster University, Lancaster).
18. Brown, S.J., W.N. Goetzmann, and S.A. Ross, 1995, Survival, Journal of Finance, 853-873.
19. Chopra, N., J. Lakonishok, and J.R. Ritter, 1992, Measuring abnormal performance: Do stocks overreact, Journal of Financial Economics 31, 235-268.
20. DeBondt, W. and R. Thaler, 1985, Does the stock market overreact?, Journal of Finance 40, 793-805.
21. DeBondt, Werner and Richard Thaler, 1987, Further evidence on investor overreaction and stock market seasonality, Journal of Finance 42, 557-581.
22. Foster, G., 1977, Quarterly accounting data: Time-series properties and predictive-ability results, The Accounting Review 52, 1-21.
23. Foster, G., C. Olsen, and T. Shevlin, 1984, Earnings releases, anomalies, and the behavior of securities returns, The Accounting Review 59, 574-603.
24. Freeman, R., 1987, The association between accounting earnings and security returns for large and small firms, Journal of Accounting and Economics 9, 195-228.
25. Freeman, R. and S. Tse, 1989, The multi-period information content of accounting earnings: Confirmations and contradictions of previous earnings reports, Journal of Accounting Research 27 (Suppl.), 49-79.
26. Griffin, P.A., 1977, The time-series behavior of quarterly earnings: preliminary evidence, Journal of Accounting Research 15, 71-83.
27. Hand, J.R.M., 1990, A test of the extended functional fixation hypothesis, The Accounting Review 65, 740-763.
28. Jones, C.P. and R. Litzenberger, 1970, Quarterly earnings reports and intermediate stock price trends, Journal of Finance 25, 143-148.
29. Joy, O.M., R. Litzenberger, and R. McEnally, 1977, The adjustment of stock prices to announcements of unanticipated changes in quarterly earnings, Journal of Accounting Research 15, 207-225.
30. Kaul, G. and M. Nimalendran, 1990, Price reversals: Bid-ask errors or market overreaction?, Journal of Financial Economics 28, 67-93.
31. Kothari, S.P. and R. G. Sloan, 1992, Information in prices about future earnings: Implications for earnings response coefficients, Journal of Accounting and Economics 15, 143-171.
32. Libby, R., 1981, Accounting and human information processing: Theory and applications, (Prentice-Hall, Englewood Cliffs, NJ).
33. Mendenhall, R.R., 1991, Evidence on the possible underweighting of earnings-related information, Journal of Accounting Research 29, 170-179.
34. Rendleman, R.J., C.P. Jones, and H.A. Latané, 1987, Further insight into the standardized unexpected earnings anomaly: Size and serial correlation effects, The Financial Review 22, 131-144.
35. Shiller, R.J., 1981, Do stock prices move too much to be justified by subsequent changes in dividends?, American Economic Review 71, 421-436.
36. Shiller, R.J., 1989, Price-conditional vector autoregressions and theories of stock price determination, in: R.M.C. Guimaraes et al., eds., A reappraisal of the efficiency of financial markets (Springer-Verlag, Berlin).
37. Thaler, R., ed., 1993, Advances in behavioral finance (Russell Sage Foundation, New York, NY).
38. Watts, R., 1975, The time series behavior of quarterly earnings, Manuscript (University of Newcastle, NSW).
39. Watts, R., 1978, Systematic 'abnormal' returns after quarterly earnings announcements, Journal of Financial Economics 6, 817-837.
40. Wiggins, J.B., 1990, Do misperceptions about the earnings process contribute to post-announcement drift?, Manuscript (Cornell University, Ithaca, NY).