Measurement error and nonlinearity in the earnings-returns relation

Review of Quantitative Finance and Accounting

Volumn 11, Issue 3, 1998, Pages 219-247

  Beneish, Messod D ^a   Harvey, Campbell R ^b  

^a INDIANA UNIVERSITY   (United States)

^b DUKE UNIVERSITY   (United States)

Author keywords

Measurement error; Nonparametric estimation; Unexpected earnings

Indexed keywords

EID: 54649084680     PISSN: 0924865X     EISSN: 15737179     Source Type: Journal    
DOI: 10.1023/A:1008362715659     Document Type: Article

References (37)

1. Abarbanell, J.S., W.N. Lanen and R.E. Verrechia, "Analysts' forecasts as proxies for investor beliefs in empirical research." Journal of Accounting and Economics 20, 31-60, (1996).
2. Abdel-khalik, A.R. "Specification problems with information content of earnings: revisions and rationality of expectations and self-selection bias." Contemporary Accounting Research 7, 142-172 (1990).
3. Ball, R., S.R Kothari and R.L. Watts, "Economic determinants of the relation between earnings changes and stock returns." The Accounting Review 68, 622-638, (1993).
4. Beneish, M.D., "Stock prices and the dissemination of analysts' recommendations." Journal of Business 64, 393-416, (1991).
5. Beneish, M.D. and C.R. Harvey, "A new approach to estimating the earnings response function." Working paper, Duke University, (1990).
6. Bernard, V.L. and J.K. Thomas, "Post-announcement drift: Delayed price response or risk premium?" Journal of Accounting Research 27, 1-36, (1989).
7. Brown, L.D., "Earnings Forecasting Research: Its Implications for Capital Markets Research." Journal of International Forecasting 9, 295-320, (1993).
8. Brown, L., P. Griffin, R. Hagerman, and M. Zmijewski, "Security analyst superiority relative to univariate time series models in forecasting quarterly earnings." Journal of Accounting and Economics 9, 61-87, (1987).
9. Cacoullos, T., "Estimation of a multivariate density." Annals of the Institute of Mathematical Statistics 18, 176-189, (1996).
10. Chambers, A.E. and Penman, S.H., "Timeliness of reporting and the stock price reaction to earnings announcements." Journal of Accounting Research 22, 21-47, (1984).
11. Cheng, C.S.A., W.S. Hopwood and J.C. McKeown, "Nonlinearity and specification problems in unexpected earnings response regression model." The Accounting Review 67, 379-398, (1992).
12. Cleveland, W.S. and S.J. Devlin, "Locally weighted regression: An approach to regression analysis by local fitting." Journal of the American Statistical Assocation 83, 596-609, (1988).
13. Collins, D.W. and S.P. Kothari, "An analysis of intertemporal and cross-sectional determinants of earnings response coefficients." Journal of Accounting and Economics 11, 143-181, (1989).
14. Cornell, B., and Landsman, W.R., "Security price response to quarterly earnings announcements and analysts' forecast revisions." The Accounting Review 64, 680-692, (1989).
15. Christie, A.A., "On cross-sectional analysis in accounting research" Journal of Accounting and Economics 9, 231-258, (1987).
16. Das, S. and B. Lev, "Nonlinearity in the returns-earnings relation: Tests of alternative specification and explanations." Contemporary Accounting Review 11, 353-379, (1994).
17. Easton, P. and M. Zmijewski, "Cross-sectional variation in the stock market response to accounting earnings announcements." Journal of Accounting and Economics 11, 117-141, (1989).
18. Fama, E.F. and K.R. French, "Business conditions and expected returns on stocks and bonds." Journal of Financial Economics 25, 23-50, (1989).
19. Fama, E.F. and K.R. French, "The cross section of expected returns." Journal of Finance 42, 427-466, (1992).
20. Freeman, R.N. and S. Tse, "A nonlinear model of security price responses to unexpected earnings." Journal of Accounting Research 30, 185-209, (1992).
21. Fukunaga, K., Introduction to statistical pattern recognition, New York: Academic Press, 1972.
22. Gallant, A.R., "On the bias in flexible functional forms and an essentially unbiased form: The Fourier flexible form." Journal of Econometrics 15, 211-224, (1981).
23. Granger, C.W.J. and P. Newbold, Forecasting economic time series, New York: Academic Press, 1986.
24. Hansen, L.P., "Large sample properties of generalized method of moment estimators." Econometrica 50, 1029-1054, (1982).
25. Härdle, W, Applied Nonparametric Regression. Cambridge University Press, 1990.
26. Hughes, J.S. and Ricks, WE., "Association between forecast errors and excess returns near to earnings announcements." The Accounting Review 62, 158-175, (1987).
27. Keim, D.B. and R.F. Stambaugh, "Predicting returns in the bond and stock market." Journal of Financial Economics 17, 357-390, (1986).
28. Lang, M., "Time-varying stock price responses to earnings induced by uncertainty about the time-series properties of earnings." Journal of Accounting Research 27, 229-257, (1991).
29. Lev, B., "On the usefulness of earnings and earnings research: Lessons and directions from two decades of empirical research." Journal of Accounting Research Supplement 27, 153-192, (1989).
30. Mizrach, B., "Multivariate nearest-neighbour forecasts of EMS exchange rates." Journal of Applied Econometrics 7, S151-S163, (1992a).
31. Mizrach, B., Forecast comparison in L2, Working paper, Federal Reserve Bank of New York, (1992b).
32. Pagan, A. and G.W. Schwert, "Alternative models for conditional stock volatility." Journal of Econometrics 45, 267-290, (1990).
33. Parzen, E., "On the estimation of probability density and mode." Annals of Mathematical Statistics 33, 1065-1076, (1962).
34. Philbrick, D.R. and WE. Ricks, "Using Value Line and IBES analysts forecasts in accounting research." Journal of Accounting Research 29, 397-415, (1991).
35. Schipper, K., "Analysts' forecasts." Accounting Horizons 5, 105-121, (1991).
36. Silverman, B.W., Density estimation for statistics and data analysis, London: Chapman and Hall, 1986.
37. White, H., "A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity." Econometrica 48, 817-838, (1980).