Aggregate Market Reaction to Earnings Announcements

被引：77

作者：

Cready, William M. ^{[1
]}

Gurun, Umit G. ^{[1
]}

机构：

[1] Univ Texas Dallas, Richardson, TX 75083 USA

来源：

JOURNAL OF ACCOUNTING RESEARCH | 2010年 / 48卷 / 02期

关键词：

STOCK RETURNS; INFORMATION-CONTENT; EXPECTED RETURNS; DECOMPOSITION; GUIDANCE; PRICES;

D O I：

10.1111/j.1475-679X.2010.00368.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This analysis identifies a distinct immediate announcement period negative relation between earnings announcement surprises and aggregate market returns. Such a relation implies that market participants use earnings information in forming expectations about expected aggregate discount rates and, specifically, that good earnings news is associated with a positive shock to required returns. Consistent with this interpretation we find that Treasury bond rates and implied future inflation expectations respond directly to earnings news. We also find some evidence that the negative relation between earnings news and market return persists beyond the immediate announcement period, suggesting that market participants do not immediately fully impound these future market return implications of aggregate earnings news.

引用

页码：289 / 334

页数：46

共 43 条

[1] Does earnings guidance affect market returns? The nature and information content of aggregate earnings guidance [J].