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The negative earnings effect
11 references·5 citing·43 second hop
The negative earnings effect (1991)The negative earnings effectPortfolio Rebalancing and the Turn-Of-The-Year Effect (1989)Portfolio Rebalancing and the…Earnings Yields, Market Values, and Stock Returns (1989)Earnings Yields, Market Value…Risk aversion, uncertain information, and market efficiency (1988)Risk aversion, uncertain info…Market overreaction (1988)Market overreactionFurther Evidence On Investor Overreaction and Stock Market Seasonality (1987)Further Evidence On Investor …Cross-Sectional Dependence and Problems in Inference in Market-Based Accounting Research (1987)Cross-Sectional Dependence an…Sample-Dependent Results Using Accounting and Market Data: Some Evidence (1986)Sample-Dependent Results Usin…Evidence on Stock Market Overreaction (1986)Evidence on Stock Market Over…Does the Stock Market Overreact? (1985)Does the Stock Market Overrea…The relationship between return and market value of common stocks (1981)The relationship between retu…Misspecification of capital asset pricing (1981)Misspecification of capital a…Performance analysis of Turkey’s participation and conventional indices using TOPSIS method (2020)Performance analysis of Turke…Islamic Equity Investing: AlternativePerformance Measures and Style Analysis (2012)Islamic Equity Investing: Alt…The impact of meeting or beating analysts' operating cash flow forecasts on a firm's cost of debt (2011)The impact of meeting or beat…The share market reaction to earnings announcements—a test of the efficiency of the Johannesburg Stock Exchange (1995)The share market reaction to …DETERMINANTS OF EARNINGS‐PRICE RATIOS: A REEXAMINATION (1994)DETERMINANTS OF EARNINGS‐PRIC…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 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)Insiders' profits, costs of trading, and market efficiency (1986)Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence (1988)Fundamentals and Stock Returns in Japan (1991)Risk, Return, and Equilibrium: Empirical Tests (1973)Size-related anomalies and stock return seasonality (1983)The impact of public information on investors (2001)Tax‐Loss Selling and the January Effect: Evidence from Municipal Bond Closed‐End Funds (2006)The effect of holdings data frequency on conclusions about mutual fund behavior (2009)The Behavior of Stock-Market Prices (1965)On the Impossibility of Informationally Efficient Markets (1980)Nonstationary expected returns (1989)When an event is not an event: the curious case of an emerging market (2000)Following the leader: (2001)INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS (1977)Rational Capital Budgeting in an Irrational World (1996)Earnings-based and accrual-based market anomalies: one effect or two? (2000)Why Is Long‐Horizon Equity Less Risky? A Duration‐Based Explanation of the Value Premium (2007)Special Information and Insider Trading (1974)The theory and practice of econometrics (1986)Consistent Covariance Matrix Estimation with Cross-Sectional Dependence and Heteroskedasticity in Financial Data (1989)Abnormal returns to a fundamental analysis strategy. (1998)Managerial Decisions and Long-Term Stock Price Performance (1998)An Empirical Evaluation of Accounting Income Numbers (1968)Evaluating the performance of value versus glamour stocks The impact of selection bias (1995)Forecasting Stock Index Movement: A Comparison of Support Vector Machines and Random Forest (2006)Pension Plan Funding and Stock Market Efficiency (2006)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Norm theory: Comparing reality to its alternatives. (1986)Positive Feedback Investment Strategies and Destabilizing Rational Speculation (1990)Investor Psychology and Asset Pricing (2001)Capital Market Equilibrium with Restricted Borrowing (1972)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Judgment Under Uncertainty: Heuristics and Biases. (1984)Multifactor Explanations of Asset Pricing Anomalies (1996)Overreaction in the Brazilian stock market (1994)What Drives Stock Price Behavior Following Extreme One‐Day Returns (2003)
this work references cited by second hop

References

  • 1985Does the Stock Market Overreact?7,569 cited
  • 1981The relationship between return and market value of common stocks5,928 cited
  • 1987Further Evidence On Investor Overreaction and Stock Market Seasonality2,374 cited
  • 1981Misspecification of capital asset pricing1,286 cited
  • 1987Cross-Sectional Dependence and Problems in Inference in Market-Based Accounting Research548 cited
  • 1988Risk aversion, uncertain information, and market efficiency519 cited
  • 1989Earnings Yields, Market Values, and Stock Returns497 cited
  • 1986Sample-Dependent Results Using Accounting and Market Data: Some Evidence269 cited
  • 1989Portfolio Rebalancing and the Turn-Of-The-Year Effect195 cited
  • 1986Evidence on Stock Market Overreaction137 cited
  • 1988Market overreaction134 cited

Cited by

  • 1994DETERMINANTS OF EARNINGS‐PRICE RATIOS: A REEXAMINATION29 cited
  • 2011The impact of meeting or beating analysts' operating cash flow forecasts on a firm's cost of debt24 cited
  • 1995The share market reaction to earnings announcements—a test of the efficiency of the Johannesburg Stock Exchange21 cited
  • 2020Performance analysis of Turkey’s participation and conventional indices using TOPSIS method

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19 cited
  • 2012Islamic Equity Investing: AlternativePerformance Measures and Style Analysis17 cited