Earnings surprises, asymmetry of returns and market level changes: An industry study
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.
Finance and Financial Management
Journal of Accounting, Auditing and Finance
SAGE Publications (UK and US)
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. Research Collection Lee Kong Chian School Of Business.
Available at: http://ink.library.smu.edu.sg/lkcsb_research/5033