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Further evidence on analyst and investor misweighting of prior period cash flows and accruals
16 references·4 citing·31 second hop
Further evidence on analyst and investor misweighting of prior period cash flows and accruals (2006)Further evidence on analyst and investor …Accrual reliability, earnings persistence and stock prices (2005)Accrual reliability, earnings…Accrued Earnings and Growth: Implications for Future Profitability and Market Mispricing (2003)Accrued Earnings and Growth: …The Mispricing of Abnormal Accruals (2001)The Mispricing of Abnormal Ac…Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)Profitability of Momentum Str…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…Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (1999)Profitability of Momentum Str…Inefficiency in Analysts' Earnings Forecasts: Systematic Misreaction or Systematic Optimism? (1999)Inefficiency in Analysts' Ear…The relation between earnings and cash flows (1998)The relation between earnings…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Accounting earnings and cash flows as measures of firm performance (1994)Accounting earnings and cash …Tests of Analysts' Overreaction/Underreaction to Earnings Information as an Explanation for Anomalous Stock Price Behavior (1992)Tests of Analysts' Overreacti…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Australian evidence on analysts' cash flow forecasts: issuance, accuracy and usefulness (2019)Australian evidence on analys…The role of financial analysts in stock market efficiency with respect to annual earnings and its cash and accrual components (2015)The role of financial analyst…Do Analysts' Cash Flow Forecasts Mitigate the Accrual Anomaly? International Evidence (2014)Do Analysts' Cash Flow Foreca…Mandatory Earnings Disaggregation and the Persistence and Pricing of Earnings Components (2013)Mandatory Earnings Disaggrega…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)Financial Intermediation and Delegated Monitoring (1984)Earnings Management During Import Relief Investigations (1991)Performance Matched Discretionary Accrual Measures (2001)Editor's Choice Digesting Anomalies: An Investment ApproachThe economic implications of corporate financial reporting (2005)Correcting for Cross-Sectional and Time-Series Dependence in Accounting Research (2010)Managerial Ability and Earnings Quality (2012)The Behavior of Stock-Market Prices (1965)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cross-Section of Expected Stock Returns (1992)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)Judgment under Uncertainty: Heuristics and Biases (1974)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Differences of Opinion and the Cross Section of Stock Returns (2002)An Engine, Not a Camera (2006)Information Uncertainty and Stock Returns (2006)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)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)
this work references cited by second hop

References

  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1994Accounting earnings and cash flows as measures of firm performance2,584 cited
  • 2001Capital markets research in accounting2,575 cited
  • 2001Profitability of Momentum Strategies: An Evaluation of Alternative Explanations2,445 cited
  • 1998The relation between earnings and cash flows1,552 cited
  • 2005Accrual reliability, earnings persistence and stock prices1,495 cited
  • 2001The Mispricing of Abnormal Accruals1,116 cited
  • 1992Tests of Analysts' Overreaction/Underreaction to Earnings Information as an Explanation for Anomalous Stock Price Behavior1,003 cited
  • 1999Inefficiency in Analysts' Earnings Forecasts: Systematic Misreaction or Systematic Optimism?766 cited
  • 2001Do Analysts and Auditors Use Information in Accruals?752 cited
  • 2003Accrued Earnings and Growth: Implications for Future Profitability and Market Mispricing

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748 cited
  • 1999Profitability of Momentum Strategies: An Evaluation of Alternative Explanations569 cited
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    • 2019Australian evidence on analysts' cash flow forecasts: issuance, accuracy and usefulness23 cited
    • 2014Do Analysts' Cash Flow Forecasts Mitigate the Accrual Anomaly? International Evidence20 cited
    • 2013Mandatory Earnings Disaggregation and the Persistence and Pricing of Earnings Components17 cited
    • 2015The role of financial analysts in stock market efficiency with respect to annual earnings and its cash and accrual components14 cited