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ArticleEarnings dispersion and aggregate stock returns

Bjørn N. Jorgensen2011

Article2011

Earnings dispersion and aggregate stock returns

Bjørn N. Jorgensen · Jing Li · Gil Sadka

53 citations·0/0 files stored·Journal of Accounting and Economics

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Financial Risk and Volatility Modeling

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References

1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*2002Illiquidity and stock returns: cross-section and time-series effects 1985Continuous Auctions and Insider Trading 1976The arbitrage theory of capital asset pricing 1975THE 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.]1973An Intertemporal Capital Asset Pricing Model 1968An Empirical Evaluation of Accounting Income Numbers 1997Industry costs of equity

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Year2011

Typearticle

Published2011-06-26

VenueJournal of Accounting and Economics

ISSN-L0165-4101

Languageen

Citations53

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jacceco.2011.06.001

openalex_workW3125836654

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2019Commemorating the 50‐Year Anniversary of Ball and Brown (1968): The Evolution of Capital Market Research over the Past 50 Years 2020Another Look at the Macroeconomic Information Content of Aggregate Earnings: Evidence from the Labor Market 2021Firms’ response to macroeconomic estimation errors 2014The market for credit default swaps: new insights into investors' use of accounting information?2014On the systematic volatility of unpriced earnings 2010The Risk Management Role of Accounting Conservatism for Operating Cash Flows 2014The role of “other information” in analysts’ forecasts in understanding stock return volatility 2023Reducing Cost of Capital. Do Voluntary Disclosure and Accounting Conservatism Contribute?