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What Matters from the Past: Market Value, Book Value, or Earnings? Earnings Valuation and Sufficient Statistics for Prior Information
13 references·4 citing·52 second hop
What Matters from the Past: Market Value, Book Value, or Earnings? Earnings Valuation and Sufficient Statistics for Prior Information (1992)What Matters from the Past: Market Value,…Valuation of Permanent, Transitory, and Price-Irrelevant Components of Reported Earnings (1998)Valuation of Permanent, Trans…The theory of value and earnings, and an introduction to the Ball‐Brown analysis* (1991)The theory of value and earni…Earnings Asan Explanatory Variable for Returns (1991)Earnings Asan Explanatory Var…Evidence that stock prices do not fully reflect the implications of current earnings for future earnings (1990)Evidence that stock prices do…Long memory and persistence in aggregate output (1989)Long memory and persistence i…An analysis of intertemporal and cross-sectional determinants of earnings response coefficients (1989)An analysis of intertemporal …Earnings Innovations, Earnings Persistence, and Stock Returns (1987)Earnings Innovations, Earning…The Adjustment of Consumption to Changing Expectations About Future Income (1981)The Adjustment of Consumption…The Time Series of Annual Accounting Earnings (1977)The Time Series of Annual Acc…FURTHER EVIDENCE OF THE TIME SERIES PROPERTIES OF ACCOUNTING INCOME (1976)FURTHER EVIDENCE OF THE TIME …A NOTE ON USING CROSS‐SECTIONAL INFORMATION IN BAYESIAN ESTIMATION OF SECURITY BETAS (1973)A NOTE ON USING CROSS‐SECTION…SOME TIME SERIES PROPERTIES OF ACCOUNTING INCOME (1972)SOME TIME SERIES PROPERTIES O…Dividend Policy, Growth, and the Valuation of Shares (1961)Dividend Policy, Growth, and …The Behavior of Operating Earnings in the Norwegian Salmon Farming Industry (2015)The Behavior of Operating Ear…FUNDAMENTAL INFORMATION ANALYSIS: AN EXTENSION AND UK EVIDENCE (1999)FUNDAMENTAL INFORMATION ANALY…Regulation and the Valuation Relevance of Book Value and Earnings: Evidence from the United States* (1998)Regulation and the Valuation …Discussion: “Valuation of Permanent, Transitory, and Price-Irrelevant Components of Reported Earnings” (1998)Discussion: “Valuation of Per…An Empirical Evaluation of Accounting Income Numbers (1968)The relationship between return and market value of common stocks (1981)Price and return models (1995)The Value Relevance of Intangibles: The Case of Software Capitalization (1998)Equity Valuation and Negative Earnings: The Role of Book Value of Equity (1999)Dividend Policy: An Empirical Analysis (1968)Time Series Analysis: Forecasting and Control (1977)The Theoretical Relationship Between Systematic Risk and Financial (Accounting) Variables (1979)The Ability of Earnings to Predict Future Earnings and Cash Flow (1994)Determinants of profitability in European manufacturing and services: evidence from a dynamic panel model (2005)A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’ (1981)Trends and random walks in macroeconmic time series (1982)Time Series Regression with a Unit Root (1987)Log-Periodogram Regression of Time Series with Long Range Dependence (1995)Long memory processes and fractional integration in econometrics (1996)Modeling and pricing long memory in stock market volatility (1996)A Theory of the Consumption Function (1958)THE LIFE CYCLE HYPOTHESIS OF SAVING: AGGREGATE IMPLICATIONS AND TESTS (1963)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)No news is good news (1992)Capital markets research in accounting (2001)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Editor's Choice Digesting Anomalies: An Investment ApproachRisk, Return, and Equilibrium: Empirical Tests (1973)Mean 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)The Behavior of Stock-Market Prices (1965)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)On cross-sectional analysis in accounting research (1987)Earnings forecasting research: its implications for capital markets research (1993)Market Expectations in the Cross‐Section of Present Values (2013)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Positive Accounting Theory (1985)Cross-sectional variation in the stock market response to accounting earnings announcements (1989)The Financial Information Content of Perceived Quality (1994)Investor Information Demand: Evidence from Google Searches Around Earnings Announcements (2011)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)The Prediction of Systematic and Specific Risk in Common Stocks (1973)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)Market-Based Empirical Research in Accounting: A Review, Interpretation, and Extension (1982)Friction in the trading process and the estimation of systematic risk (1983)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The Pricing of Options and Corporate Liabilities (1973)Determinants of corporate borrowing (1977)An Intertemporal Capital Asset Pricing Model (1973)Forecasting Profitability and Earnings (2000)Does Greater Firm‐Specific Return Variation Mean More or Less Informed Stock Pricing? (2003)
this work references cited by second hop

References

  • 1961Dividend Policy, Growth, and the Valuation of Shares6,554 cited
  • 1990Evidence that stock prices do not fully reflect the implications of current earnings for future earnings2,010 cited
  • 1989An analysis of intertemporal and cross-sectional determinants of earnings response coefficients1,685 cited
  • 1981The Adjustment of Consumption to Changing Expectations About Future Income1,326 cited
  • 1991Earnings Asan Explanatory Variable for Returns1,017 cited
  • 1987Earnings Innovations, Earnings Persistence, and Stock Returns909 cited
  • 1989Long memory and persistence in aggregate output546 cited
  • 1973A NOTE ON USING CROSS‐SECTIONAL INFORMATION IN BAYESIAN ESTIMATION OF SECURITY BETAS477 cited
  • 1972SOME TIME SERIES PROPERTIES OF ACCOUNTING INCOME454 cited
  • 1977The Time Series of Annual Accounting Earnings336 cited
  • 1976FURTHER EVIDENCE OF THE TIME SERIES PROPERTIES OF ACCOUNTING INCOME263 cited
  • 1991The theory of value and earnings, and an introduction to the Ball‐Brown analysis*242 cited
  • 1998Valuation of Permanent, Transitory, and Price-Irrelevant Components of Reported Earnings140 cited

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  • 1998Regulation and the Valuation Relevance of Book Value and Earnings: Evidence from the United States*52 cited

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  • 2015The Behavior of Operating Earnings in the Norwegian Salmon Farming Industry31 cited
  • 1999FUNDAMENTAL INFORMATION ANALYSIS: AN EXTENSION AND UK EVIDENCE29 cited
  • 1998Discussion: “Valuation of Permanent, Transitory, and Price-Irrelevant Components of Reported Earnings”17 cited