Individuals' perceptions and misperceptions of time series properties of quarterly earnings

• 成果类型: Article
• 署名作者: Maines, LA; Hand, JRM
• 署名单位: Duke University; University of North Carolina; University of North Carolina Chapel Hill
• 刊物名称: ACCOUNTING REVIEW
• ISSN/ISSBN: 0001-4826
• 发表日期: 1996
• 页码: 317-336
• 关键词: ANNOUNCEMENT DRIFT; ACCOUNTING EARNINGS; INFORMATION; BEHAVIOR; explanation

摘要

This study uses experiments to examine whether individuals' earnings forecasts correctly reflect the time series properties of quarterly earnings, in particular, the positive autocorrelation in seasonal quarterly changes and the negative fourth-order moving average term documented by Brown and Rozeff (1979), We find that individuals' forecasts are sensitive to the magnitude of these time series components; however, individuals typically underweight the moving average term and under- (over-)weight the most recent seasonal quarterly change when it has a strong (weak) effect on future earnings. Individuals also place slightly more weight on quarterly changes when earnings are reported relative to those four quarters prior, These results suggest that the documented stock market under-reaction to quarterly earnings may not hold universally; rather, it may be composed of under-reactions to firms with strong autocorrelation in seasonal changes and over-reactions to firms with weak autocorrelation in seasonal changes.