Earnings surprises, asymmetry of returns and market level changes: An industry study
Publication Type
Journal Article
Publication Date
1-2007
Abstract
Recent studies that examine the relationship between stock returns and unexpected earnings may be broadly categorized into two main approaches: the firm-specific approach of Skinner and Sloan (2002) and Lopez and Rees (2001), and the market-wide regime shifting behavior of Conrad, Cornell, and Landsman (2002). Although both approaches provide possible explanations for the asymmetric behavior of earnings shocks, no known study has attempted to establish which approach has stronger empirical support. In this paper, using industry sector results, we generally find stronger empirical support for the firm-specific approach as being more representative of stock price behavior.
Discipline
Finance and Financial Management
Research Areas
Finance
Publication
Journal of Accounting, Auditing and Finance
Volume
22
Issue
1
First Page
29
Last Page
55
ISSN
0148-558X
Identifier
10.1177/0148558X0702200104
Publisher
SAGE Publications (UK and US)
Citation
HO, Yew-Kee and SEQUEIRA, J. M..
Earnings surprises, asymmetry of returns and market level changes: An industry study. (2007). Journal of Accounting, Auditing and Finance. 22, (1), 29-55.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/5033
Additional URL
https://journals.sagepub.com/doi/abs/10.1177/0148558X0702200104