PRICE AND RETURN MODELS

• 成果类型: Article
• 署名作者: KOTHARI, SP; ZIMMERMAN, JL
• 刊物名称: JOURNAL OF ACCOUNTING & ECONOMICS
• ISSN/ISSBN: 0165-4101
• DOI: 10.1016/0165-4101(95)00399-4
• 发表日期: 1995
• 关键词: earnings response coefficients; incremental information-content; consistent covariance-matrix; time-series properties; ACCOUNTING EARNINGS; stock returns; SECURITY RETURNS; valuation implications; UNEXPECTED EARNINGS; EMPIRICAL-RESEARCH

摘要

Return models (returns regressed on scaled earnings variables) are commonly preferred to price models (stock price regressed on earnings per share). We provide a framework for choosing between these models. An economically intuitive rationale suggests that price models are better specified in that the estimated slope coefficients from price models, but not return models, are unbiased. Our empirical results confirm that price models' earnings response coefficients are less biased. However, return models have less serious econometric problems than price models. In some research contexts the combined use of both price and return models may be useful.