The information content of security prices : A second look
The information content of security prices : A second look
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证券价格的信息内容：再看
DOI：
10.1016/0165-4101(87)90003-6
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发表时间：
1987
影响因子：
5.9
通讯作者：
Stephen G. Ryan
中科院分区：
文献类型：
--
作者：
W. Beaver;Richard A. Lambert;Stephen G. Ryan
Beaver、Lambert和莫尔斯（1980）采用了价格变化百分比对收入变化百分比的回归，其中数据按因变量分组。反向回归提供了一种更直观和直接的方法来评估证券价格的信息含量，比弗等人的目标。虽然分组是渐近等价的，反向回归是一种更有效的方法来检验价格相对于会计收益的百分比变化滞后值的增量解释力。
Beaver, Lambert and Morse (1980) employ a regression of percentage change in prices on percentage change in earnings in which data are grouped by the dependent variable. Reverse regression offers a more intuitive and direct way to assess the information content of security prices, the objective of Beaver et al. While grouping is asymptotically equivalent, reverse regression is a more efficient way of examining the incremental explanatory power of lagged values of percentage change in price with respect to accounting earnings.