Journal of Accounting and Economics Vol. 9 No. 2 1987

An evaluation of alternative proxies for the market's assessment of unexpected earnings

Lawrence D. Brown^1,2,3,4; Robert L. Hagerman^1,2,3; Paul A. Griffin^1,2,3; Mark E. Zmijewski^1,2,3

¹ University of Chicago · ² University at Buffalo, State University of New York · ³ University of California, Davis · ⁴ Temple University

Abstract

This study examines the association between abnormal returns and five alternative proxies for the market's assessment of unexpected quarterly earnings. We examine the role that measurement error potentially has in multiple regression tests of abnormal returns (occuring around the time of earnings announcements) on an unexpected earnings proxy and other non-earnings variables. The results indicate a potential measurement error interpretation of such multiple regression tests. We examine three procedures which reduce, to an unknown degree, the measurement error problem. Our procedures appear to be more (less) effective at reducing measurement error for small (large) firms and recent (non-recent) forecasts.

DOI

10.1016/0165-4101(87)90004-8

Volume

9

Issue

2

Pages

159-193

Language

en

Sources

bibtex:phds-export.bib openalex crossref

Cite

APA 7 MLA 9 Chicago (author–date) Harvard Elsevier Harvard (JFE, JBF…) The Accounting Review Academy of Management American Marketing Association INFORMS (Management Science) Copy citation Copied ✓