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- Publisher Website: 10.1016/j.jacceco.2011.06.001
- Scopus: eid_2-s2.0-84857046217
- WOS: WOS:000301406300001
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Article: Earnings dispersion and aggregate stock returns
Title | Earnings dispersion and aggregate stock returns |
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Authors | |
Keywords | Accounting valuation |
Issue Date | 2012 |
Citation | Journal of Accounting and Economics, 2012, v. 53, n. 1-2, p. 1-20 How to Cite? |
Abstract | This paper studies the relation between aggregate stock returns and contemporaneous and future cross-sectional earnings dispersion. We hypothesize that increases in expected earnings dispersion signal increases in uncertainty and increases in unemployment, thereby causing expected returns to rise, which in turn causes prices to decline. We find a positive relation between aggregate stock returns and contemporaneous earnings dispersion because higher earnings dispersion is associated with higher expected returns. Consequently, we also find a negative relation between aggregate stock returns and future (one-year ahead) earnings dispersion, as investors anticipate higher future earnings dispersion and higher expected returns. © 2011 Elsevier B.V. |
Persistent Identifier | http://hdl.handle.net/10722/227996 |
ISSN | 2023 Impact Factor: 5.4 2023 SCImago Journal Rankings: 8.337 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Jorgensen, Bjorn | - |
dc.contributor.author | Li, Jing | - |
dc.contributor.author | Sadka, Gil | - |
dc.date.accessioned | 2016-08-01T06:44:55Z | - |
dc.date.available | 2016-08-01T06:44:55Z | - |
dc.date.issued | 2012 | - |
dc.identifier.citation | Journal of Accounting and Economics, 2012, v. 53, n. 1-2, p. 1-20 | - |
dc.identifier.issn | 0165-4101 | - |
dc.identifier.uri | http://hdl.handle.net/10722/227996 | - |
dc.description.abstract | This paper studies the relation between aggregate stock returns and contemporaneous and future cross-sectional earnings dispersion. We hypothesize that increases in expected earnings dispersion signal increases in uncertainty and increases in unemployment, thereby causing expected returns to rise, which in turn causes prices to decline. We find a positive relation between aggregate stock returns and contemporaneous earnings dispersion because higher earnings dispersion is associated with higher expected returns. Consequently, we also find a negative relation between aggregate stock returns and future (one-year ahead) earnings dispersion, as investors anticipate higher future earnings dispersion and higher expected returns. © 2011 Elsevier B.V. | - |
dc.language | eng | - |
dc.relation.ispartof | Journal of Accounting and Economics | - |
dc.subject | Accounting valuation | - |
dc.title | Earnings dispersion and aggregate stock returns | - |
dc.type | Article | - |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1016/j.jacceco.2011.06.001 | - |
dc.identifier.scopus | eid_2-s2.0-84857046217 | - |
dc.identifier.volume | 53 | - |
dc.identifier.issue | 1-2 | - |
dc.identifier.spage | 1 | - |
dc.identifier.epage | 20 | - |
dc.identifier.isi | WOS:000301406300001 | - |
dc.identifier.issnl | 0165-4101 | - |