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The Effect of Ex Ante Earnings Uncertainty on Earnings Response Coefficients.
7 references·16 citing·48 second hopsampled
The Effect of Ex Ante Earnings Uncertainty on Earnings Response Coefficients. (1992)The Effect of Ex Ante Earnings Uncertaint…Cross-sectional variation in the stock market response to accounting earnings announcements (1989)Cross-sectional variation in …The Effect of Sequential Information Releases on the Variance of Price Changes in an Intertemporal Multi-Asset Market (1988)The Effect of Sequential Info…The association between accounting earnings and security returns for large and small firms (1987)The association between accou…On cross-sectional analysis in accounting research (1987)On cross-sectional analysis i…Earnings Innovations, Earnings Persistence, and Stock Returns (1987)Earnings Innovations, Earning…Cross-Sectional Dependence and Problems in Inference in Market-Based Accounting Research (1987)Cross-Sectional Dependence an…Predisclosure Information, Firm Capitalization, and Security Price Behavior Around Earnings Announcements (1985)Predisclosure Information, Fi…Subjective perception of economic policy uncertainty and corporate social responsibility: Evidence from China (2023)Subjective perception of econ…Uncertainty about managers’ reporting objectives and investors’ response to earnings reports: Evidence from the 2006 executive compensation disclosures (2018)Uncertainty about managers’ r…Forecasting Taxes: New Evidence from Analysts (2016)Forecasting Taxes: New Eviden…Longevity risk, subjective survival expectations, and individual saving behavior (2012)Longevity risk, subjective su…Does Beta Move with News? Firm-Specific Information Flows and Learning about Profitability (2012)Does Beta Move with News? Fir…Why Do EPS Forecast Error and Dispersion Not Vary with Scale? Implications for Analyst and Managerial Behavior (2010)Why Do EPS Forecast Error and…Web‐Based Non‐Financial Disclosure and Cost of Finance (2010)Web‐Based Non‐Financial Discl…Corporate governance and information asymmetry between managers and investors (2010)Corporate governance and info…Intellectual capital disclosure, cost of finance and firm value (2009)Intellectual capital disclosu…Analyst responsiveness and the post-earnings-announcement drift (2008)Analyst responsiveness and th…An unintended consequence of book-tax conformity: A loss of earnings informativeness (2008)An unintended consequence of …The informativeness of earnings and management's issuance of earnings forecasts (2006)The informativeness of earnin…Divergence of Opinion and Equity Returns (2006)Divergence of Opinion and Equ…Confirming Management Earnings Forecasts, Earnings Uncertainty, and Stock Returns (2003)Confirming Management Earning…Boards of Directors, Audit Committees, and the Information Content of Earnings (2003)Boards of Directors, Audit Co…Analysts' forecasts as proxies for investor beliefs in empirical research (1995)Analysts' forecasts as proxie…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)Differential information and the small firm effect (1984)Firm size and the information content of prices with respect to earnings (1987)Earnings news and small traders (1992)The Behavior of Stock-Market Prices (1965)Special Information and Insider Trading (1974)The theory and practice of econometrics (1986)Consistent Covariance Matrix Estimation with Cross-Sectional Dependence and Heteroskedasticity in Financial Data (1989)Abnormal returns to a fundamental analysis strategy. (1998)Managerial Decisions and Long-Term Stock Price Performance (1998)The relationship between return and market value of common stocks (1981)Positive Accounting Theory (1985)Earnings forecasting research: its implications for capital markets research (1993)Scale Effects in Capital Markets‐Based Accounting Research (2009)An Empirical Evaluation of Accounting Income Numbers (1968)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)The Financial Information Content of Perceived Quality (1994)Investor Information Demand: Evidence from Google Searches Around Earnings Announcements (2011)Financial analysts' forecasts of earnings (1982)Market reaction to anticipated announcements (1991)Trading Volume and Price Reactions to Public Announcements (1991)The Economic Consequences of Increased Disclosure: Evidence from International Cross-Listings (2002)Measuring Investors' Opinion Divergence (2009)The effect of information quality on liquidity risk (2011)Dividend Policy, Growth, and the Valuation of Shares (1961)Association between accounting performance measures and stock prices (1992)Price and return models (1995)The implied cost of capital: A new approach (2011)Disclosure, Liquidity, and the Cost of Capital (1991)Cross-Sectional Determinants of Analyst Ratings of Corporate Disclosures (1993)The economic implications of corporate financial reporting (2005)The joint effects of materiality thresholds and voluntary disclosure incentives on firms’ disclosure decisions (2009)Assessing methods of identifying management forecasts: CIG vs. researcher collected (2012)Audited Financial Reporting and Voluntary Disclosure of Corporate Social Responsibility (CSR) Reports (2016)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Constraints on short-selling and asset price adjustment to private information (1987)Security Returns Around Earnings Announcements. (1991)Public disclosure, private information collection, and short-term trading (1994)Reputation Repair After a Serious Restatement (2014)Econometric Analysis of Cross Section and Panel Data (2001)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Earnings Announcements and Systematic Risk (2015)Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns (2016)Panic Selling When Disaster Strikes: Evidence in the Bond and Stock Markets (2021)Reputation and Performance Among Security Analysts (1992)The Geography of Equity Analysis (2005)
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References

  • 1985Predisclosure Information, Firm Capitalization, and Security Price Behavior Around Earnings Announcements1,005 cited
  • 1987Earnings Innovations, Earnings Persistence, and Stock Returns909 cited
  • 1989Cross-sectional variation in the stock market response to accounting earnings announcements816 cited
  • 1987Cross-Sectional Dependence and Problems in Inference in Market-Based Accounting Research548 cited
  • 1987On cross-sectional analysis in accounting research541 cited
  • 1987The association between accounting earnings and security returns for large and small firms528 cited
  • 1988The Effect of Sequential Information Releases on the Variance of Price Changes in an Intertemporal Multi-Asset Market376 cited

Cited by

  • 2012Does Beta Move with News? Firm-Specific Information Flows and Learning about Profitability267 cited
  • 1995Analysts' forecasts as proxies for investor beliefs in empirical research265 cited
  • 2006The informativeness of earnings and management's issuance of earnings forecasts220 cited
  • 2008An unintended consequence of book-tax conformity: A loss of earnings informativeness214 cited
  • 2010Corporate governance and information asymmetry between managers and investors213 cited
  • 2009Intellectual capital disclosure, cost of finance and firm value213 cited
  • 2008

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Analyst responsiveness and the post-earnings-announcement drift
199 cited
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  • 2018Uncertainty about managers’ reporting objectives and investors’ response to earnings reports: Evidence from the 2006 executive compensation disclosures131 cited
  • 2010Why Do EPS Forecast Error and Dispersion Not Vary with Scale? Implications for Analyst and Managerial Behavior129 cited
  • 2023Subjective perception of economic policy uncertainty and corporate social responsibility: Evidence from China122 cited
  • 2012Longevity risk, subjective survival expectations, and individual saving behavior119 cited
  • 2003Boards of Directors, Audit Committees, and the Information Content of Earnings119 cited