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Accounting and the Macroeconomy: The Case of Aggregate Price-Level Effects on Individual Stocks
16 references·0 citing·37 second hop
Accounting and the Macroeconomy: The Case of Aggregate Price-Level Effects on Individual Stocks (2013)Accounting and the Macroeconomy: The Case…Customer-Base Concentration: Implications for Firm Performance and Capital Markets (2011)Customer-Base Concentration: …Do investors overvalue firms with bloated balance sheets? (2004)Do investors overvalue firms …Ratio Analysis and Equity Valuation: From Research to Practice (2001)Ratio Analysis and Equity Val…Do Analysts and Auditors Use Information in Accruals? (2001)Do Analysts and Auditors Use …Capital markets research in accounting (2001)Capital markets research in a…The Delisting Bias in CRSP's Nasdaq Data and Its Implications for the Size Effect (1999)The Delisting Bias in CRSP's …Conflict of Interest and the Credibility of Underwriter Analyst Recommendations (1999)Conflict of Interest and the …On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Fundamental Information Analysis (1993)Fundamental Information Analy…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Do analysts' earnings forecasts incorporate information in prior stock price changes? (1991)Do analysts' earnings forecas…Financial statement analysis and the prediction of stock returns (1989)Financial statement analysis …Inflation, Rational Valuation and the Market (1979)Inflation, Rational Valuation…Asset returns and inflation (1977)Asset returns and inflationCOMMON STOCKS AS A HEDGE AGAINST INFLATION (1976)COMMON STOCKS AS A HEDGE AGAI…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)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)Expected stock returns and volatility (1987)Efficient Capital Markets: II (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)The Long‐Run Performance of initial Public Offerings (1991)Timid Choices and Bold Forecasts: A Cognitive Perspective on Risk Taking (1993)Earnings Management and the Long‐Run Market Performance of Initial Public Offerings (1998)Herd Behavior in Financial Markets (2000)Stock price reaction to news and no-news: drift and reversal after headlines (2003)Analyzing the Analysts: When Do Recommendations Add Value? (2004)The Behavior of Stock-Market Prices (1965)Dividend Policy, Growth, and the Valuation of Shares (1961)An Empirical Evaluation of Accounting Income Numbers (1968)Does the Stock Market Overreact? (1985)Another Look at the Cross-Section of Expected Stock Returns (1995)Investor psychology in capital markets: evidence and policy implications (2002)Financing Constraints and Corporate Investment (1987)Financing Constraints and Corporate Investment (1988)Value-relevance of nonfinancial information: The wireless communications industry (1996)Are Selling, General, and Administrative Costs “Sticky”? (2003)Judgment under Uncertainty: Heuristics and Biases (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Econometrics of Event Studies**We thank Espen Eckbo, Jon Lewellen, Adam Kolasinski, and Jay Ritter for insightful comments, and Irfan Safdar and Alan Wancier for research assistance. (2007)Driven to Distraction: Extraneous Events and Underreaction to Earnings News (2009)Investor Inattention and Friday Earnings Announcements (2009)Asset Pricing at the Millennium (2000)Beyond Greed and Fear (2002)Behavioral finance (2003)Multifactor Explanations of Asset Pricing Anomalies (1996)Costly arbitrage and the myth of idiosyncratic risk (2006)Dissecting Characteristics Nonparametrically (2019)Taming the Factor Zoo: A Test of New Factors (2020)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1977Asset returns and inflation2,701 cited
  • 2001Capital markets research in accounting2,575 cited
  • 1999Conflict of Interest and the Credibility of Underwriter Analyst Recommendations1,549 cited
  • 1993Fundamental Information Analysis1,084 cited
  • 1989Financial statement analysis and the prediction of stock returns996 cited
  • 1979Inflation, Rational Valuation and the Market944 cited
  • 2004Do investors overvalue firms with bloated balance sheets?805 cited
  • 2011Customer-Base Concentration: Implications for Firm Performance and Capital Markets789 cited
  • 2001Do Analysts and Auditors Use Information in Accruals?752 cited
  • 1976COMMON STOCKS AS A HEDGE AGAINST INFLATION697 cited
  • 2001Ratio Analysis and Equity Valuation: From Research to Practice679 cited
  • 1999The Delisting Bias in CRSP's Nasdaq Data and Its Implications for the Size Effect545 cited
  • 1991

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Do analysts' earnings forecasts incorporate information in prior stock price changes?
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