The timing of industry and firm earnings information in security prices: A re-evaluation

Pieter T. Elgers; Susan L. Porter; Le Emily Xu

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The timing of industry and firm earnings information in security prices: A re-evaluation

机译：证券价格中行业和公司收益信息的时间安排：重新评估

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This paper re-evaluates evidence in Ayers and Freeman [Ayers, F., Freeman, R., 1997. Market assessment of industry and firm earnings information. Journal of Accounting and Economics 24, 205-218] suggesting that investors anticipate industry-wide components of earnings earlier than firm-specific components, and that post-earnings-announcement drift following annual earnings announcements is due primarily to firm-specific components of earnings. Our tests indicate that post-announcement drift is entirely attributable to coefficient bias due to measurement errors in the use of realized earnings changes as proxies for unexpected earnings. Also, coefficient differences in the market's anticipation of subsequent-year industry and firm-specific earnings become insignificant when we introduce suitable controls for non-linearity in the return/earnings relation.

机译：本文对Ayers和Freeman的证据进行了重新评估[Ayers，F.，Freeman，R.，1997。行业和公司收益信息的市场评估。 Journal of Accounting and Economics 24，205-218]建议投资者预期行业范围内的收益要早于公司特定的组成部分，并且年度收益公告之后的公告后公告漂移主要是由于公司特定的收益组成部分。我们的测试表明，公告后的偏差完全归因于系数误差，这是由于在使用实际收益变化作为意外收益的代理时出现测量误差。同样，当我们为收益/收益关系中的非线性引入适当的控制措施时，市场对下一年行业和公司特定收益的预期中的系数差异也变得微不足道。

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《Journal of accounting & economics》 |2008年第1期|p.78-93|共16页
作者
Pieter T. Elgers; Susan L. Porter; Le Emily Xu;
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The timing of industry and firm earnings information in security prices: A re-evaluation

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