Time-varying stock price response to earnings induced by uncertainty about the time-series process of earnings

Article Abstract:

A model that uses observed earnings to illustrate the time-series parameter of the income process of firms is presented. The model uses price as a function of a random walk-conforming expected future income with drift time-series process. An increase in the uncertainty of a firm's earnings prospects brings about a subsequent increase in the informative content of earnings. Thus, newly-traded firms exhibited lower stock price response magnitude in relation to income for earnings of a longer time series. The response of stock prices to announcements of quarterly earnings was also examined for 200 firms for a period of 12 quarters succeeding their initial public offering dates. Earnings response coefficients for these 200 firms, in general, decrease over time and approach a constant level.

Models, Usage, Time-series analysis, Time series analysis

---

An empirical investigation of the speed of the market reaction to earnings announcements

Article Abstract:

The duration of the effect of price-earnings announcements on per share valuations are studied with respect to three variables: company size, report type, and reporting lag. The research measures duration of price adjustments to par values in terms of both mean distribution of returns and variance of distribution. The data studied consisted of earnings announcements for 400 companies traded on either the New York Stock Exchange or the American Stock Exchange. The research indicates that: cross-sectional differences in duration of price-earnings announcements are related to company size and type of report, but are not as affected by reporting lag, although reporting lag may affect return variance measures.

Security and commodity exchanges, Stock-exchange, Stock exchanges, Statistics, Securities, Securities prices

---

The association between interim information and security returns surrounding earnings announcement

Article Abstract:

Interim information plays a preemptive role regarding the information content of annual earnings of a sample of over-the-counter traded companies using weekly security returns during the period from October 1982 to November 1984. Significant overlap exists in the explanatory power of the interim information proxies. Neither the size of the firms nor the other proxies demonstrate substantial incremental explanatory power over the other.

Corporation reports, Company reports, Over-the-counter markets, Over the counter markets

Similar abstracts:

• Abstracts: Reinstating Code Sec. 6166 eligibility after the Taxpayer Relief Act of 1997. Monitoring remuneration of outside corporate directors
• Abstracts: Are stock price reversals really asymmetric? A note. Personal taxes and the time variation of stock returns - evidence from the UK
• Abstracts: Trustees can't shirk their responsibilities. Protecting your fund from predators. Fashion statement
• Abstracts: Guidelines for conducting research and publishing in marketing: from conceptualization through the review process
• Abstracts: Fairly prices, but still a sell. Gearing up for warrant profits. A bear picnic

This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.