作者：Teets, WR; Wasley, CE
作者单位：Washington University (WUSTL); Gonzaga University
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-specifi...
