AN ANALYSIS OF INTERTEMPORAL AND CROSS-SECTIONAL DETERMINANTS OF EARNINGS RESPONSE COEFFICIENTS
AN ANALYSIS OF INTERTEMPORAL AND CROSS-SECTIONAL DETERMINANTS OF EARNINGS RESPONSE COEFFICIENTS
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DOI：
10.1016/0165-4101(89)90004-9
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发表时间：
1989-07-01
影响因子：
5.9
通讯作者：
KOTHARI, SP
中科院分区：
文献类型：
--
作者：
COLLINS, DW;KOTHARI, SP
股票自豪感的变化与一个给定的意外收益变化（收益反应系数）表现出横截面和时间的变化。我们预测和文件证据表明，收益反应系数是一个功能的无风险利率和风险，增长和/或持续性的收益。收益反应系数也随持有期收益区间的变化而呈横截面变化。总的来说，我们的研究结果解释了以前报告的差异收益反应系数的大小。此外，通过包括上述因素，收益/回报关系的经验规范显着改善。
Stock pride change associated with a given unexpected earnings change (the earnings response coefficient) exhibits cross-sectional and temporal variation. We predict and document evidence that the earnings response coefficient is a function of riskless interest rates and the riskiness, growth and/or persistence of earnings. The earnings response coefficient also varies cross-sectionally with the holding period return interval. Collectively, our results explain the previously reported differential earnings response coefficient with respect to size. Moreover, by including the factors noted above, the empirical specification of the earnings/returns relation is significantly improved.