Conservatism and cross-sectional variation in the post-earnings announcement drift

• 成果类型: Article
• 署名作者: Narayanamoorthy, Ganapathi
• 署名单位: Yale University
• 刊物名称: JOURNAL OF ACCOUNTING RESEARCH
• ISSN/ISSBN: 0021-8456
• DOI: 10.1111/j.1475-679X.2006.00218.x
• 发表日期: 2006
• 页码: 763-789
• 关键词: time-series properties; PRICES FULLY REFLECT; stock-prices; INFORMATION; tests

摘要

Accounting conservatism allows me to identify a previously undocumented source of predictable cross-sectional variation in Standardized Unexpected Earnings' autocorrelations viz. the sign of the most recent earnings realization and present evidence that the market ignores this variation (loss effect). It is possible to earn returns higher than from the Bernard and Thomas (1990) strategy by incorporating this feature. Additionally, the paper shows that the loss effect is different from the cross quarter effect shown by Rangan and Sloan (1998) and it is possible to combine the two effects to earn returns higher than either strategy alone. Thus, the paper corroborates the Bernard and Thomas finding that stock prices fail to reflect the extent to which quarterly earnings series differ from a seasonal random walk and extends it by showing that the market systematically underestimates time-series properties resulting from accounting conservatism.