Essays on Earnings Persistence, Earnings Trends, and the Predictability of Post-earnings-announcement Stock ReturnsUniversity of Wisconsin--Madison, 2004 - 122 pages |
Contents
Literature Review | 6 |
Earnings Persistence and PostEarningsAnnouncement Stock Returns | 22 |
Earnings Trends and PostEarningsAnnouncement Stock Returns | 78 |
Copyright | |
Common terms and phrases
abnormal returns accounting accruals analysis announcement for quarter anomalies asset turnover assets associated carnings Chapter coefficient estimates components computed conditional Cons consistent consistent trends correlation cumulative current earnings changes decreases determined direction dissertation drift Dummy earnings announcement earnings persistence earnings series earnings trends economic effect equation estimation bias examine expectations explain extreme findings firm-quarter observations firms fundamentals future growth hedge portfolio high-persistence higher historical hypothesis includes inconsistent increases indicates institutional investors literature low-persistence mean moderated confidence negative overreaction Panel past patterns PEAD performance period Pers persistence measure portfolio positive post-announcement post-earnings-announcement predictability prior quarter quarter t+1 quarterly quarterly earnings regression relative reported representative reversals risk sample scaled seasonal change significant size-adjusted stock prices suggests t-stat Table three-day trading underestimate underreaction variable window zero