Stock returns, aggregate earnings surprises, and behavioral finance

• 成果类型: Article
• 署名作者: Kothari, SP; Lewellen, J; Warner, JB
• 署名单位: University of Rochester; Massachusetts Institute of Technology (MIT); Dartmouth College; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2004.06.016
• 发表日期: 2006
• 页码: 537-568
• 关键词: stock prices; earnings; business cycles; Discount rates; Expected returns

摘要

We study the stock market's reaction to aggregate earnings news. Prior research shows that, for individual firms, stock prices react positively to earnings news but require several quarters to fully reflect the information in earnings. We find a substantially different pattern in aggregate data. First, returns are unrelated to past earnings, suggesting that prices neither underreact nor overreact to aggregate earnings news. Second, aggregate returns correlate negatively with concurrent earnings; over the last 30 years, for example, stock prices increased 5.7% in quarters with negative earnings growth and only 2.1% otherwise. This finding suggests that earnings and discount rates move together over time and provides new evidence that discount-rate shocks explain a significant fraction of aggregate stock returns. (c) 2005 Elsevier B.V. All rights reserved.