The changing relationship between earnings expectations and earnings for value and growth stocks during Reg FD

Journal of Banking and Finance

Volumn 33, Issue 2, 2009, Pages 435-442

  de Jong, Pieter J ^a   Apilado, Vince P ^b  

^a UNIVERSITY OF NORTH FLORIDA   (United States)

^b UNIVERSITY OF TEXAS AT ARLINGTON   (United States)

Author keywords

Financial analysts; Growth stocks; Regulation fair disclosure; Value stocks

Indexed keywords

EID: 56549100330     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2008.08.015     Document Type: Article

References (25)

1. Aggarwal R., Mohanty S., and Song F. Are survey forecasts of macroeconomic variables rational?. Journal of Business 68 (1995) 99-119
2. Brown L., and Rozeff M. The superiority of analyst forecasts as measures of expectations: Evidence from earnings. Journal of Finance 33 (1978) 1-16
3. Cornett M., Tehranian M., and Yalçin A. Regulation fair disclosure and the market's reaction to analyst investment recommendation changes. Journal of Banking and Finance 31 (2007) 567-588
4. Chen A.-S., and Hong B.-S. Institutional ownership changes and returns around analysts' earnings forecast release events: Evidence from Taiwan. Journal of Banking and Finance 30 (2006) 2471-2488
5. Dickey D., and Fuller W. Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica 49 (1981) 1057-1072
6. Easterwood J., and Nutt S. Inefficiency in analysts' earnings forecasts: Systematic misreaction or systematic optimism?. Journal of Finance 54 (1999) 1777-1797
7. Engle R., and Granger C. Cointegration and error correction representation, estimation, and testing. Econometrica 55 (1987) 251-276
8. Fama E., and French K. The cross-section of expected stock returns. Journal of Finance 47 (1992) 427-465
9. Findlay S., and Mathew P. An examination of the differential impact of regulation FD on analysts' forecast accuracy. Financial Review 41 (2006) 9-31
10. Gu Z., and Chen T. Analysts' treatment of nonrecurring items in street earnings. Journal of Accounting and Economics 38 (2004) 129-170
11. Im K., Pesaran M., and Shin Y. Testing for unit roots in heterogeneous panels. Journal of Econometrics 115 (2003) 53-74
12. Jegadeesh N., Kim J., Krische S., and Lee C. Analyzing the analysts: When do recommendations add value?. Journal of Finance 59 (2004) 1083-1124
13. Jiang X., and Lee B.-S. Stock returns, dividend yield, and book-to-market ratio. Journal of Banking and Finance 31 (2007) 455-475
14. Johansen S. Estimation and hypothesis testing of cointegration vectors in gaussian vector autoregressive models. Econometrica 59 (1991) 1551-1580
15. Keane M., and Runkle D. Are financial analysts' forecasts of corporate profits rational?. Journal of Political Economy 106 (1998) 768-805
16. Lakonishok J., Shleifer A., and Vishny R. Contrarian investment, extrapolation, and risk. Journal of Finance 49 (1994) 1541-1578
17. La Porta R., Lakonishok J., Shleifer A., and Vishny R. Good news for value stocks: Further evidence on market efficiency. Journal of Finance 52 (1997) 859-874
18. Lim T. Rationality and analysts' forecast bias. Journal of Finance 56 (2001) 369-385
19. Mohanty S., and Aw E. Rationality of analysts' earnings forecasts: Evidence from Dow 30 companies. Applied Financial Economics 16 (2006) 915-929
20. Ng S., and Perron P. Lag length selection and the construction of unit root tests with good size and power. Econometrica 69 (2001) 1519-1554
21. Pedroni P. Panel cointegration: Asymptotic and finite sample properties of pooled time series tests with an application to the PPP hypothesis. Econometric Theory 20 (2004) 597-625
22. Philbrick D., and Ricks W. Using value line and IBES analyst forecasts in accounting research. Journal of Accounting Research 29 (1991) 397-417
23. Skinner D., and Sloan R. Earnings surprises, growth expectations, and stock returns or don't let an earnings torpedo sink your portfolio. Review of Accounting Studies 7 (2002) 289-312
24. Szakmary A., Conover C., and Lancaster C. An examination of value line's long-term projections. Journal of Banking and Finance 32 (2008) 820-833
25. Westerlund J. Panel cointegration test of the fisher hypothesis. Journal of Applied Econometrics 23 (2008) 193-233