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Semi-annual earnings announcements and market reaction: some recent findings for a small capital market
14 references·7 citing·30 second hop
Semi-annual earnings announcements and market reaction: some recent findings for a small capital market (1996)Semi-annual earnings announcements and ma…THIN TRADING AND THE ESTIMATION OF BETAS: THE EFFICACY OF ALTERNATIVE TECHNIQUES (1994)THIN TRADING AND THE ESTIMATI…Accounting earnings and cash flows as measures of firm performance (1994)Accounting earnings and cash …Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The earnings-price anomaly (1992)The earnings-price anomalyThe 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…Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium? (1989)Post-Earnings-Announcement Dr…Risk measurement when shares are subject to infrequent trading (1983)Risk measurement when shares …Biases in computed returns (1983)Biases in computed returnsThe relationship between return and market value of common stocks (1981)The relationship between retu…Misspecification of capital asset pricing (1981)Misspecification of capital a…Risk measurement when shares are subject to infrequent trading (1979)Risk measurement when shares …Estimating betas from nonsynchronous data (1977)Estimating betas from nonsync…An Empirical Evaluation of Accounting Income Numbers (1968)An Empirical Evaluation of Ac…Investor Limited Attention, Opinion Divergence, and Post-earnings-announcement Drift: Evidence from China (2022)Investor Limited Attention, O…Post earnings announcement drift, liquidity and zero leverage firms: Evidence from the UK stock market (2020)Post earnings announcement dr…Do Market Efficiency Measures Yield Correct Inferences? A Comparison of Developed and Emerging Markets (2010)Do Market Efficiency Measures…Public announcement induced market reactions on Baltic stock exchanges (2008)Public announcement induced m…Balanced growth and public capital: an empirical analysis with I(2) trends in capital stock data (2002)Balanced growth and public ca…Value-at-risk prediction using context modeling (2001)Value-at-risk prediction usin…Supply of Venture Capital by European Governments (2001)Supply of Venture Capital by …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)Does the Stock Market Overreact? (1985)Efficient Capital Markets: II (1991)Illiquidity and stock returns: cross-section and time-series effects (2002)Risk, Return, and Equilibrium: Empirical Tests (1973)Using daily stock returns (1985)R2 around the world: New theory and new tests☆ (2005)Mean reversion in stock prices (1988)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Investor Psychology and Security Market Under‐ and Overreactions (1998)Some New Stock-Market Indexes (1966)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)Transaction costs and the small firm effect (1983)The effect of bond rating changes on common stock prices (1986)Contrarian Investment, Extrapolation, and Risk (1994)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)Earnings Management During Import Relief Investigations (1991)Detecting Earnings Management. (1995)The Quality of Accruals and Earnings: The Role of Accrual Estimation Errors (2002)Earnings management and investor protection: an international comparison (2003)The economic implications of corporate financial reporting (2005)On Persistence in Mutual Fund Performance (1997)A five-factor asset pricing model (2014)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Two new Later Stone Age sites from the Final Pleistocene in the Falémé Valley, eastern Senegal (2024)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1992The Cross-Section of Expected Stock Returns17,320 cited
  • 1968An Empirical Evaluation of Accounting Income Numbers6,384 cited
  • 1981The relationship between return and market value of common stocks5,999 cited
  • 1979Risk measurement when shares are subject to infrequent trading2,767 cited
  • 1977Estimating betas from nonsynchronous data2,751 cited
  • 1994Accounting earnings and cash flows as measures of firm performance2,584 cited
  • 1989Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium?2,314 cited
  • 1990Evidence that stock prices do not fully reflect the implications of current earnings for future earnings2,010 cited
  • 1981Misspecification of capital asset pricing1,327 cited
  • 1983Biases in computed returns773 cited
  • 1983Risk measurement when shares are subject to infrequent trading240 cited
  • 1992The earnings-price anomaly209 cited
  • 1994THIN TRADING AND THE ESTIMATION OF BETAS: THE EFFICACY OF ALTERNATIVE TECHNIQUES64 cited

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  • 2010Do Market Efficiency Measures Yield Correct Inferences? A Comparison of Developed and Emerging Markets

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555 cited
  • 2002Balanced growth and public capital: an empirical analysis with I(2) trends in capital stock data52 cited
  • 2001Supply of Venture Capital by European Governments23 cited
  • 2008Public announcement induced market reactions on Baltic stock exchanges21 cited
  • 2022Investor Limited Attention, Opinion Divergence, and Post-earnings-announcement Drift: Evidence from China19 cited
  • 2020Post earnings announcement drift, liquidity and zero leverage firms: Evidence from the UK stock market17 cited
  • 2001Value-at-risk prediction using context modeling16 cited