The Effect of Earnings Yields Upon the Association Between Unexpected Earnings and Security Returns: A Re-examination.

Pieter Elgers; Carolyn M. Callahan; Elizabeth Strock

doi:10.2308/tar-4487094

The Effect of Earnings Yields Upon the Association Between Unexpected Earnings and Security Returns: A Re-examination.

Pieter Elgers; Carolyn M. Callahan; Elizabeth Strock

The Accounting Review 1987

ABSTRACT: This paper re-examines Basu's [1978] finding that earnings yields are related to the unexpected earnings-security returns association in a manner consistent with biased Investor expectations of earnings. The results indicate that those early findings were clue to 11) a classification bras inherent in the market index earnings expectation model used, and (2) failure of the returns conditioning model to incorporate a share price effect on security returns. Both factors in the research design have implications for contemporary studies of the unexpected earnings-security returns association.

DOI: 10.2308/tar-4487094
Volume: 62 (4)
Pages: 763-773
Language: en
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