Estimating earnings response coefficients: Pooled versus firm-specific models

• 成果类型: Article
• 署名作者: Teets, WR; Wasley, CE
• 署名单位: Washington University (WUSTL); Gonzaga University
• 刊物名称: JOURNAL OF ACCOUNTING & ECONOMICS
• ISSN/ISSBN: 0165-4101
• DOI: 10.1016/0165-4101(96)00423-5
• 发表日期: 1996
• 关键词: STOCK RETURNS; UNEXPECTED EARNINGS; ACCOUNTING EARNINGS; Forecast errors; association; INFORMATION; MARKET; price; announcements; magnitude

摘要

Short-window earnings response coefficients estimated from pooled time-series cross-sectional regressions are systematically smaller than corresponding averages of firm-specific coefficients estimated from time-series regressions. The cause is a negative relation between firm-specific earnings response coefficients and unexpected earnings variances. If the hypotheses of equality of firm-specific coefficients and equality of firm-specific unexpected earnings variances are rejected, firm-specific estimation should be used instead of pooled estimation. Using pooled estimation may lead to incorrect inferences about the magnitude of estimated coefficients and/or incorrect inferences about differences in coefficient behavior between groups of firms.