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Essays on earnings persistence, earnings trends, and the predictability of post-earnings-announcement stock returns.

机译：关于收益持续性，收益趋势以及收益后公告股票收益的可预测性的论文。

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摘要

This dissertation studies the effects of two earnings attributes, earnings persistence and earnings trends, on investors' under- and overreaction to earnings information. I first provide evidence that the association between post-earnings-announcement abnormal returns and earnings changes depends on fundamentally determined earnings persistence. The association is positive when earnings persistence is high, negative when earnings persistence is low. This evidence indicates that the market underreacts to high-persistence earnings and overreacts to low-persistence earnings. I also show that historical earnings trends affect investors' assessment of earnings persistence. When current earnings changes are consistent with past earnings trends, post-earnings-announcement drift is reduced and investors' underestimation of high-persistence earnings significantly decreases. The findings of this thesis are consistent with stock prices behaving as if investors' expectations of earnings persistence are moderated toward an average level that is insufficiently high or low relative to actual earnings persistence. Moreover, investors' assessment of earnings persistence appears to be affected by the patterns of past earnings series: investors seem to believe that earnings changes consistent with prior earnings trends are more persistent than earnings changes inconsistent with prior earnings trends.
机译：本文研究了收益持续性和收益趋势这两个收益属性对投资者对收益信息反应不足和反应过度的影响。我首先提供证据表明，盈余公告后的异常收益与盈余变化之间的关系取决于从根本上确定的盈余持久性。收入持久性较高时，关联为正；收入持久性较低时，关联为负。该证据表明，市场对高持久性收益反应不足，而对低持久性收益反应过度。我还表明历史收益趋势会影响投资者对收益持续性的评估。当当前收益变化与过去收益趋势一致时，收益后公告的漂移会减少，并且投资者对持久性收益的低估会大大降低。本文的研究结果与股票价格的行为相一致，就好像投资者对收益持续性的期望被调低到相对于实际收益持续性而言足够高或低的平均水平一样。此外，投资者对收益持续性的评估似乎受到过去收益系列模式的影响：投资者似乎认为，与先前收益趋势一致的收益变化比与先前收益趋势不一致的收益变化更具持久性。

著录项

  • 作者

    Chen, Changling.;

  • 作者单位

    The University of Wisconsin - Madison.;

  • 授予单位 The University of Wisconsin - Madison.;
  • 学科 Accounting.
  • 学位 Ph.D.
  • 年度 2004
  • 页码 122 p.
  • 总页数 122
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类
  • 关键词

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