When is bad news really bad news?

被引：146

作者：

Conrad, J ^{[1
]}

Cornell, B

Landsman, WR

机构：

[1] Univ N Carolina, Chapel Hill, NC 27514 USA

[2] Univ Calif Los Angeles, Los Angeles, CA 90024 USA

来源：

JOURNAL OF FINANCE | 2002年 / 57卷 / 06期

关键词：

D O I：

10.1111/1540-6261.00504

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We examine whether the price response to bad and good earnings shocks changes as the relative level of the market changes. The study is based on a complete sample of annual earnings announcements during the period 1988 to 1998. The relative level of the market is based on the difference between the current market P/E and the average market P/E over the prior 12 months. We find that the stock price response to negative earnings surprises increases as the relative level of the market rises. Furthermore, the difference between bad news and good news earnings response coefficients rises with the market.

引用

页码：2507 / 2532

页数：26

共 29 条

[21] Do nonlinearity, firm-specific coefficients, and losses represent distinct factors in the relation between stock returns and accounting earnings? [J].