Price and return models

Journal of Accounting and Economics

Volumn 20, Issue 2, 1995, Pages 155-192

  Kothari, S P ^a   Zimmerman, Jerold L ^a  

^a UNIVERSITY OF ROCHESTER   (United States)

Author keywords

Capital markets; Earnings response coefficients; Price earnings regressions

Indexed keywords

EID: 58149211658     PISSN: 01654101     EISSN: None     Source Type: Journal    
DOI: 10.1016/0165-4101(95)00399-4     Document Type: Article

References (75)

1. The time series properties of annual earnings
2. Permanent versus transitory components of annual earnings and estimation error in earnings response coefficients
3. Some time series properties of accounting income
4. Some additional evidence on survival biases
5. Economic determinants of the relation between earnings changes and stock returns
6. The relationship between return and market value of common stock
7. Relative measurement errors among alternative pension asset and liability measures
8. The market valuation implications of net periodic pension cost components
9. Components of bank earnings and the structure of bank share prices
10. Conservatism and asymmetric timeliness of earnings
11. The association between unsystematic security returns and the magnitude of earnings forecast errors
12. The incremental information content of replacement cost earnings
13. The information content of security prices
14. Cross-sectional dependence and problems in inference in market-based accounting research
15. Valuation of earnings components in the electric utility industry
16. Further evidence of the time series properties of accounting income
17. An evaluation of alternative proxies for the market's assessment of unexpected earnings
18. Security analyst multi-year earnings forecasts and the capital market
19. Non-linearity and specification problems in unexpected earnings response regression model
20. On cross-sectional analysis in accounting research
21. Application of least squares regressions to relationships containing autocorrelated error terms
22. Accounting information and corporate governance: Market and analyst reactions to earnings of firms engaged in proxy contests
23. An analysis of the intertemporal and cross-sectional determinants of the earnings response coefficients
24. Noisy accounting earnings signals and earnings response coefficients The case of foreign currency accounting
25. Firm size and information content of prices with respect to earnings
26. Lack of timeliness versus noise as explanations for low contemporaneous return-earnings association
27. Nonlinearity in the returns-earnings relation Tests of alternative specifications
28. Accounting earnings and security valuation Empirical evidence of the fundamental links
29. Earnings as an explanatory variable for returns
30. Cross-sectional variation in the stock market response to the announcement of accounting earnings
31. Accounting earnings can explain most of security returns: The case of long event windows
32. Co-integration and error-correction Representation estimation and testing
33. Stock returns, real activity, inflation, and money
34. Dividend yields and expected stock returns
35. The association between accounting earnings and security returns for large and small firms
36. A nonlinear model of security price response to unexpected earnings
37. Capital market equilibrium information production and selecting accounting techniques Theoretical framework and review of empirical work
38. A test of the extended functional fixation hypothesis
39. The relation between the return measurement interval and betas: Implications for the size effect
40. The value-relevance of German accounting measures An empirical analysis
41. The information content of losses
42. A note on interpreting ‘incremental information content’
43. Predicting returns in the stock and bond markets
44. Earnings innovations earnings persistence and stock returns
45. Price-earnings regressions in the presence of prices leading earnings: Earnings level versus change specifications and alternative deflators
46. Information in prices about future earnings: Implications for earnings response coefficients
47. Another look at the cross-section of expected stock returns
48. An empirical investigation of pension fund property rights
49. Cross-sectional capital market research and model specification
50. On the usefulness of earnings Lessons and directions from two decades of empirical research
51. Market based empirical research in accounting A review interpretations and extensions
52. The relation between stock returns and accounting earnings given alternative information
53. A simple positive semi-definite heteroscedasticity and autocorrelation consistent covariance matrix
54. The theory and value of earnings and an introduction to the Ball-Brown analysis
55. Changes versus levels in earnings as explanatory variables for returns Some theoretical considerations
56. Valuation implication of SFAS no 33 data for electric utility investors
57. Differencing as a test of specification
58. The relation between stock returns and earnings: A study of newly-public firms
59. Misspecification of capital asset pricing: Empirical anomalies based on earnings yields and market values
60. 2′s
61. A comparison of financial characteristics of December and non-December year-end companies
62. Options markets and the information content of accounting earnings releases
63. Accounting measurement error and the pricing of interim earnings
64. A heteroscedasticity consistent covariance matrix estimator and a direct test for heteroscedasticity