Ross Jennings, Paul J. Simko, Robert B. Thompson II, Does LIFO Inventory Accounting Improve the Income Statement at the Expense of the Balance Sheet?, Journal of Accounting Research, Vol. 34, No. 1 (Spring, 1996), pp. 85-109

Robert B. Thompson II, Chris Olsen, J. Richard Dietrich, Attributes of News about Firms: An Analysis of Firm-Specific News Reported in the Wall Street Journal Index, Journal of Accounting Research, Vol. 25, No. 2 (Autumn, 1987), pp. 245-274

In many accounting and finance research studies it is hypothesized that the news release under study has valuation implications. Results often indicate that the distribution of risk adjusted residual common stock returns, conditional on the occurrence of a wide variety of specific news event types, differs in one or more moments from the distribution of returns when such events are absent. This paper demonstrates that the distribution of Wall Street Journal news-conditional residual returns differs from the distribution of returns when such news is absent. A "news-conditional" model of the process generating security returns is proposed as an alternative to models typically used in previous event studies. Standardized prediction errors and squared standardized prediction errors from the news-conditional model are compared with those generated by conventional procedures.