Earnings news, expected earnings, and aggregate stock returns
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- 作者：Jung Ho Choia ; jchoi4@chicagobooth.edu" class="auth_mail" title="E-mail the corresponding author ; Alon Kalayb ; ak3318@columbia.edu" class="auth_mail" title="E-mail the corresponding author ; Gil Sadkac ; Gil.Sadka@utdallas.edu" class="auth_mail" title="E-mail the corresponding author
- 关键词：E32 ; G12 ; G14 ; M41
- 刊名：Journal of Financial Markets
- 出版年：2016
- 出版时间：June 2016
- 年：2016
- 卷：29
- 期：Complete
- 页码：110-143
- 全文大小：1672 K
文摘
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Aggregate earnings changes and aggregate stock returns are negatively related.
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The negative relation is due to the expected component of earnings.
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We construct new measures of aggregate earnings news based on analyst forecasts.
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The relation between aggregate earnings news and aggregate stock returns is positive.
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We find a negative relation between expected earnings and stock returns.
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Aggregate earnings are more predictable than firm-level earnings.
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More predictable earnings are associated with a lower earnings–returns relation.