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DC Field | Value | Language |
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dc.contributor.author | Constantina, C | - |
dc.contributor.author | Forbes, WP | - |
dc.contributor.author | Skerratt, L | - |
dc.coverage.spatial | 47 | en |
dc.date.accessioned | 2007-06-26T20:18:26Z | - |
dc.date.available | 2007-06-26T20:18:26Z | - |
dc.date.issued | 2000 | - |
dc.identifier.citation | Economics and Finance Working papers, Brunel University, 00-14 | en |
dc.identifier.uri | http://bura.brunel.ac.uk/handle/2438/875 | - |
dc.description.abstract | We revisit the debate concerning the interpretation given to prior year’s earnings changes in predicting future earnings as discussed by Abarbanell & Bernard (1992), Francis & Philbrick (1993) and Easterwood and Nutt (1999). We advance a new specification of this relationship which distinguishes between earnings reversion and momentum. On a large UK dataset, we find there is substantial underreaction, particularly in situations of earnings momentum, approximately six times as large as that identified by Abarbanell & Bernard. This suggests that analysts behaviour is still a candidate to explain post earnings announcement drift. We also show that our model performs well relative to a specification recently proposed by Easterwood and Nutt (1999). | en |
dc.format.extent | 267296 bytes | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | en | - |
dc.publisher | Brunel University | en |
dc.title | Analyst Underreaction to Past Information About Earnings: reporting, processing or plain old misspecification bias? | en |
dc.type | Research Paper | en |
Appears in Collections: | Dept of Economics and Finance Research Papers |
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