Stock returns , aggregate earnings surprises , and behavioral finance $

@inproceedings{Kotharia2006StockR,
  title={Stock returns , aggregate earnings surprises , and behavioral finance \$},
  author={S. P. Kotharia and Jonathan Lewellenb and Jerold B. Warnerd},
  year={2006}
}
  • S. P. Kotharia, Jonathan Lewellenb, Jerold B. Warnerd
  • Published 2006
We study the stock market’s reaction to aggregate earnings news. Prior research shows that, for individual firms, stock prices react positively to earnings news but require several quarters to fully reflect the information in earnings. We find a substantially different pattern in aggregate data. First, returns are unrelated to past earnings, suggesting that prices neither underreact nor overreact to aggregate earnings news. Second, aggregate returns correlate negatively with concurrent earnings… CONTINUE READING
Highly Cited
This paper has 58 citations. REVIEW CITATIONS

Citations

Publications citing this paper.

59 Citations

0510'07'10'13'16'19
Citations per Year
Semantic Scholar estimates that this publication has 59 citations based on the available data.

See our FAQ for additional information.

References

Publications referenced by this paper.
Showing 1-10 of 41 references

Post-earnings announcement drift: delayed price response or risk premium

V. 307–343. Bernard, J. Thomas
Journal of Accounting Research • 1989
View 8 Excerpts
Highly Influenced

An empirical evaluation of accounting income numbers

R. Ball, P. Brown
Journal of Accounting • 1968
View 5 Excerpts
Highly Influenced

The Accounting Review

N. Barberis, A. Shleifer, R. Vishny
Journal of Financial • 1998
View 7 Excerpts
Highly Influenced

Economic determinants of the relation between earnings changes

R. 663–682. Ball, S. P. Kothari, R. Watts
1993
View 4 Excerpts
Highly Influenced

Explaining the variance of price-dividend ratios

J. Cochrane
Journal of Political Economy • 1992
View 5 Excerpts
Highly Influenced

Business conditions and expected returns on stocks and bonds

E. 283–306. Fama, K. French
Journal of Financial Economics • 1989
View 4 Excerpts
Highly Influenced

1988a. Stock prices, earnings, and expected dividends

R. Shiller
Journal of Political Economy • 1988
View 4 Excerpts
Highly Influenced

The dividend-price ratio and expectations of future dividends

J. 661–676. Campbell, R. Shiller
1988
View 5 Excerpts
Highly Influenced

The dividendprice ratio and expectations of future dividends and discount factors

J. Campbell, R. Shiller
Review of Financial Studies • 1988
View 4 Excerpts
Highly Influenced

Similar Papers

Loading similar papers…