Identifying the Relationship between Earnings and Prices

• 成果类型: Article
• 署名作者: Starica, Catalin; Marton, Jan P.
• 署名单位: University of Neuchatel; University of Gothenburg
• 刊物名称: ACCOUNTING REVIEW
• ISSN/ISSBN: 0001-4826
• DOI: 10.2308/TAR-2023-0205
• 发表日期: 2025
• 页码: 383-420
• 关键词: value-relevance literature; stock returns; accounting conservatism; asymmetric timeliness; to-book; valuation; equity; determinants; coefficients; INFORMATION

摘要

The relationships between accounting earnings and stock prices, as well as between unexpected earnings and returns, have received substantial attention in the empirical literature. Several theoretical models predict the shapes of these relationships. However, a comprehensive empirical description that could be used to evaluate these predictions is lacking. By integrating recent advances in statistics and machine learning with findings in the accounting literature, we develop an empirical method to identify the relationships, which is consistent with the firm- specific and nonlinear features of the theoretical models. Our approach provides a clear description of stylized and robust patterns in the relationships that are relevant to distinguish between existing models and to aid future theory development. The findings are consistent with recently proposed dynamic option models for both the earnings-price and unexpected earnings-returns relationships.