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Comprehensive Income, Future Earnings, and Market Mispricing
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Comprehensive Income, Future Earnings, and Market Mispricing (2007)Comprehensive Income, Future Earnings, an…The Persistence and Pricing of Earnings, Accruals, and Cash Flows When Firms Have Large Book-Tax Differences (2005)The Persistence and Pricing o…Investor Sophistication and the Mispricing of Accruals (2003)Investor Sophistication and t…Effects of Comprehensive-Income Characteristics on Nonprofessional Investors' Judgments: The Role of Financial-Statement Presentation Format (2000)Effects of Comprehensive-Inco…Is comprehensive income superior to net income as a measure of firm performance? (1999)Is comprehensive income super…Have Financial Statements Lost Their Relevance? (1999)Have Financial Statements Los…Comprehensive Income Reporting and Analysts' Valuation Judgments (1998)Comprehensive Income Reportin…Accounting valuation, market expectation, and cross-sectional stock returns (1998)Accounting valuation, market …The Delisting Bias in CRSP Data (1997)The Delisting Bias in CRSP Da…The information content of losses (1995)The information content of lo…Relative versus incremental information content (1995)Relative versus incremental i…Fair Value Accounting: Evidence from Investment Securities and the Market Valuation of Banks. (1994)Fair Value Accounting: Eviden…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Evidence that stock prices do not fully reflect the implications of current earnings for future earnings (1990)Evidence that stock prices do…A rational expectations approach to macroeconometrics: Testing policy ineffectiveness and efficient-markets models (1985)A rational expectations appro…Book Rate-of-Return and Prediction of Earnings Changes: An Empirical Investigation (1982)Book Rate-of-Return and Predi…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Does the Stock Market Overreact? (1985)The Long‐Run Performance of initial Public Offerings (1991)Understanding the Nature of the Risks and the Source of the Rewards to Momentum Investing (2001)What Drives Firm‐Level Stock Returns? (2002)Replicating Anomalies (2018)Editor's Choice Digesting Anomalies: An Investment ApproachMean reversion in stock prices (1988)Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium? (1989)Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.1 (1998)Investor Psychology and Asset Pricing (2001)Judgment under Uncertainty: Heuristics and Biases (1974)Judgment under Uncertainty: Heuristics and Biases (1975)Overconfidence, Arbitrage, and Equilibrium Asset Pricing (2001)Profitability, investment and average returns (2006)Earnings Management During Import Relief Investigations (1991)Causes and Consequences of Earnings Manipulation: An Analysis of Firms Subject to Enforcement Actions by the SEC* (1996)The “Incomplete Revelation Hypothesis” and Financial Reporting (2002)Financial reporting complexity and investor underreaction to 10-K information (2008)The financial analyst forecasting literature: A taxonomy with suggestions for further research (2008)Detecting Earnings Management (2012)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)The effects of monetary incentives on effort and task performance: theories, evidence, and a framework for research (2002)Good Day Sunshine: Stock Returns and the Weather (2003)Financial Accounting Standards Board (FASB) (2008)The Effects of Reporting Complexity on Small and Large Investor Trading (2010)Information asymmetry, corporate disclosure, and the capital markets: A review of the empirical disclosure literature (2001)Costs of Equity and Earnings Attributes (2004)Understanding earnings quality: A review of the proxies, their determinants and their consequences (2010)The conservatism principle and the asymmetric timeliness of earnings1 (1997)Earnings Management through Real Activities Manipulation (2003)Earnings Management: New Evidence Based on Deferred Tax Expense (2003)The incentives for tax planning (2011)Beauty is in the eye of the beholder: The effect of corporate tax avoidance on the cost of bank loans (2014)
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References

  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1995The information content of losses2,315 cited
  • 1990Evidence that stock prices do not fully reflect the implications of current earnings for future earnings2,010 cited
  • 1999Have Financial Statements Lost Their Relevance?1,917 cited
  • 1998Accounting valuation, market expectation, and cross-sectional stock returns1,083 cited
  • 1997The Delisting Bias in CRSP Data1,057 cited
  • 2005The Persistence and Pricing of Earnings, Accruals, and Cash Flows When Firms Have Large Book-Tax Differences813 cited
  • 2000Effects of Comprehensive-Income Characteristics on Nonprofessional Investors' Judgments: The Role of Financial-Statement Presentation Format759 cited
  • 1998Comprehensive Income Reporting and Analysts' Valuation Judgments680 cited
  • 1994Fair Value Accounting: Evidence from Investment Securities and the Market Valuation of Banks.654 cited
  • 1999Is comprehensive income superior to net income as a measure of firm performance?466 cited
  • 1982Book Rate-of-Return and Prediction of Earnings Changes: An Empirical Investigation405 cited
  • 2003Investor Sophistication and the Mispricing of Accruals375 cited

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1995
Relative versus incremental information content
323 cited
  • 1985A rational expectations approach to macroeconometrics: Testing policy ineffectiveness and efficient-markets models270 cited
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