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FURTHER INSIGHT INTO THE STANDARDIZED UNEXPECTED EARNINGS ANOMALY: SIZE AND SERIAL CORRELATION EFFECTS
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FURTHER INSIGHT INTO THE STANDARDIZED UNEXPECTED EARNINGS ANOMALY: SIZE AND SERIAL CORRELATION EFFECTS (1987)FURTHER INSIGHT INTO THE STANDARDIZED UNE…Transaction costs and the small firm effect (1983)Transaction costs and the sma…Transaction costs and the small firm effect (1983)Transaction costs and the sma…The relationship between earnings' yield, market value and return for NYSE common stocks (1983)The relationship between earn…Empirical anomalies based on unexpected earnings and the importance of risk adjustments (1982)Empirical anomalies based on …A Direct Test of Roll's Conjecture on the Firm Size Effect (1982)A Direct Test of Roll's Conje…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…Standardized Unexpected Earnings--1971-77 (1979)Standardized Unexpected Earni…Anomalies in relationships between securities' yields and yield-surrogates (1978)Anomalies in relationships be…The Adjustment of Stock Prices to Announcements of Unanticipated Changes in Quarterly Earnings (1977)The Adjustment of Stock Price…STANDARDIZED UNEXPECTED EARNINGS—A PROGRESS REPORT (1977)STANDARDIZED UNEXPECTED EARNI…Estimating betas from nonsynchronous data (1977)Estimating betas from nonsync…A review of the Post-Earnings-Announcement Drift (2020)A review of the Post-Earnings…International Diversification, SFAS 131 and Post‐Earnings‐Announcement Drift (2017)International Diversification…Unsophisticated Arbitrageurs and Market Efficiency: Overreacting to a History of Underreaction? (2014)Unsophisticated Arbitrageurs …Foreign ownership and firm performance: evidence from Japan's electronics industry (2012)Foreign ownership and firm pe…How Asian and Global Economic crises Prevail in Chinese IPO and Stock Market Efficiency (2011)How Asian and Global Economic…Investor Sentiment, Post-Earnings Announcement Drift, and Accruals (2009)Investor Sentiment, Post-Earn…Quantitative Equity Portfolio Management (2008)Quantitative Equity Portfolio…A Multifactor Explanation of Post-Earnings Announcement Drift (2003)A Multifactor Explanation of …Market Efficiency or Not? The Behaviour of China’s Stock Prices in Response to the Announcement of Bonus Issues (2001)Market Efficiency or Not? The…Evidence that Capital Markets Learn from Academic Research: Earnings Surprises and the Persistence of Post-Announcement Drift (2001)Evidence that Capital Markets…Earnings Surprise Research: Synthesis and Perspectives (1997)Earnings Surprise Research: S…Delayed price response to the announcements of earnings and its components in Finland (1997)Delayed price response to the…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (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)The Effect of Market Segmentation and Illiquidity on Asset Prices: Evidence from Exchange Listings (1994)Transaction Costs and Asset Prices: A Dynamic Equilibrium model (1998)Bank involvement with SMEs: Beyond relationship lending (2010)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)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)An Empirical Evaluation of Accounting Income Numbers (1968)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)On the Impossibility of Informationally Efficient Markets (1980)Market rationality and dividend announcements (1985)An empirical analysis of the incentives to engage in costly information acquisition (1987)Tax Expense Momentum (2011)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)An Intertemporal Capital Asset Pricing Model (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Noise (1986)Evidence on the Characteristics of Cross Sectional Variation in Stock Returns (1997)Chapter 18 A survey of behavioral finance (2003)Capital Market Equilibrium with Restricted Borrowing (1972)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Risk measurement when shares are subject to infrequent trading (1979)Volume and turn-of-the-year behavior (1984)Robustness of size and value effects in emerging equity markets, 1985–2000 (2002)Do a firm's equity returns reflect the risk of its pension plan?☆ (2006)The Effects of Beta, Bid-Ask Spread, Residual Risk, and Size on Stock Returns (1989)Abnormal returns to a fundamental analysis strategy. (1998)Arbitrage risk and the book-to-market anomaly (2003)The effect of bond rating changes on common stock prices (1986)Financial Markets and the Real Economy (2005)Impacts of positive and negative corporate social responsibility activities on company performance in the hospitality industry (2009)Information Asymmetry and the Dealer's Bid-Ask Spread: A Case Study of Earnings and Dividend Announcements (1986)Earnings expectations, investor trade size, and anomalous returns around earnings announcements (2005)The Supraview of Return Predictive Signals (2012)
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References

  • 1981The relationship between return and market value of common stocks5,928 cited
  • 1977Estimating betas from nonsynchronous data2,751 cited
  • 1983The relationship between earnings' yield, market value and return for NYSE common stocks1,640 cited
  • 1981Misspecification of capital asset pricing1,286 cited
  • 1978Anomalies in relationships between securities' yields and yield-surrogates750 cited
  • 1983Transaction costs and the small firm effect529 cited
  • 1983Transaction costs and the small firm effect431 cited
  • 1982Empirical anomalies based on unexpected earnings and the importance of risk adjustments292 cited
  • 1982A Direct Test of Roll's Conjecture on the Firm Size Effect187 cited
  • 1977The Adjustment of Stock Prices to Announcements of Unanticipated Changes in Quarterly Earnings153 cited
  • 1979Standardized Unexpected Earnings--1971-77110 cited
  • 1977STANDARDIZED UNEXPECTED EARNINGS—A PROGRESS REPORT88 cited

Cited by

  • 2020A review of the Post-Earnings-Announcement Drift77 cited
  • 2012Foreign ownership and firm performance: evidence from Japan's electronics industry67 cited
  • 2009Investor Sentiment, Post-Earnings Announcement Drift, and Accruals

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65 cited
  • 2003A Multifactor Explanation of Post-Earnings Announcement Drift59 cited
  • 1997Earnings Surprise Research: Synthesis and Perspectives54 cited
  • 2014Unsophisticated Arbitrageurs and Market Efficiency: Overreacting to a History of Underreaction?49 cited
  • 2008Quantitative Equity Portfolio Management41 cited
  • 2001Market Efficiency or Not? The Behaviour of China’s Stock Prices in Response to the Announcement of Bonus Issues40 cited
  • 2001Evidence that Capital Markets Learn from Academic Research: Earnings Surprises and the Persistence of Post-Announcement Drift38 cited
  • 1997Delayed price response to the announcements of earnings and its components in Finland35 cited
  • 2017International Diversification, SFAS 131 and Post‐Earnings‐Announcement Drift29 cited
  • 2011How Asian and Global Economic crises Prevail in Chinese IPO and Stock Market Efficiency28 cited