An Evaluation of Alternative Proxies for the Market's Assessment of Unexpected Earnings
By Lawrence D. Brown, Robert L. Hagerman, Paul A. Griffin, M. Zmijewski. 2008
217 citations recorded by the source corpus.
Subfields: Accounting, Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/7ab15fedb2837d8e53e72272e141c164665cd1e3
Citations in the corpus
- Earnings conference calls and stock returns: The incremental informativeness of textual tone (2012, unknown): “Brown et al. (1987) show that both the seasonal and analyst forecast based earnings surprise proxies are prone to measurement error.”
- Trading Volume Around Earnings Announcements and Other Financial Reports: Theory, Research Design, Empirical Evidence, and Directions for Future Research (2010, unknown): “Price reactions to earnings announcements track more closely earnings surprises measured relative to analysts’ forecasts (e.g., Brown et al. 1987), whereas (total) trading volume reactions track more closely earnings surprises from an unsophisticated seasonal random-walk expectation model (Bamber…”
- Firm and Investor Responses to Uncertain Tax Benefit Disclosure Requirements (2013, unknown): “We include RET100 in order to control for error in our measure of UTBMV and unexpected earnings (Brown et al. 1987; Collins et al. 1994; Lys and Sivaramakrishnan 1988; Kumar and Visvanathan 2003).15 By including RET100, we hope to mitigate any potential measurement error-related coefficient…”
- A re-examination of analysts’ superiority over time-series forecasts of annual earnings (2012, unknown): “Given information and timing advantages (Brown et al. 1987b), it seems improbable that analysts would not provide more accurate forecasts than a simple RW model.”
- Does Earnings Guidance Affect Market Returns? The Nature and Information Content of Aggregate Earnings Guidance (2007, unknown): “These numbers are comparable to those of short-window earnings announcement studies that use firm-level data (e.g., Brown et al., 1987) which typically report R-squareds of around 5-10%.”