Does earnings guidance affect market returns? The nature and information content of aggregate earnings guidance

• 成果类型: Article; Proceedings Paper
• 署名作者: Anilowski, Carol; Feng, Mei; Skinner, Douglas J.
• 署名单位: University of Chicago; Purdue University System; Purdue University; Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh
• 刊物名称: JOURNAL OF ACCOUNTING & ECONOMICS
• ISSN/ISSBN: 0165-4101
• DOI: 10.1016/j.jacceco.2006.09.002
• 发表日期: 2007
• 关键词: STOCK RETURNS; DISCLOSURES; news; volatility; forecasts; BEHAVIOR

摘要

We investigate whether earnings guidance affects aggregate stock returns through its effects on expectations about overall earnings performance and/or aggregate expected returns. We find that aggregate guidance, especially relative levels of quarterly downward guidance, is associated with analyst- and time-series- based measures of aggregate earnings news. We find more modest evidence that guidance, again, largely downward guidance, is associated with market returns-market returns appear to respond to guidance toward the end of each calendar quarter, when most earnings preannouncements are released, and there is some evidence that firm-level guidance affects market returns in short windows around its release. (c) 2006 Elsevier B.V. All rights reserved.