Is the US Stock Market Myopic

By Jeffery Abarbanell, Victor L. Bernard. 2000

169 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/7d27241fd89d5125b5a7337cfef2d483fbd3d93c

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Citations in the corpus

Direct and Mediated Associations among Earnings Quality, Information Asymmetry, and the Cost of Equity (2012, background): “Abarbanell and Bernard (2000) suggest that first-order autocorrelation in coefficients can exist when Value Line data are used in annual cross-sections.”
The Market Valuation of Environmental Capital Expenditures by Pulp and Paper Companies (2000, methodology): “Following Abarbanell and Bernard (2000), we calculate the standard error from the distribution of yearly coefficients and then make an adjustment for serial correlation in the coefficients.”
The relation between corporate financing activities, analysts’ forecasts and stock returns (2006, unknown): “As in tables 5 and 6, regressions are estimated annually, and we report mean coefficients and Rs, with t-statistics based on the standard error of the annual coefficient estimates adjusted for autocorrelation (Fama and Macbeth, 1973; Abarbanell and Bernard, 2000).”
Equity Valuation Using Multiples (2002, unknown): “, Abarbanell and Bernard [2000], Claus and Thomas [2000]) and returns (e.g., Liu and Thomas [2000], Liu [1999]). The three generic patterns we use to project abnormal earnings past a horizon date have been considered in Frankel and Lee [1998] (P1*), Palepu, Healy, and Bernard [2000] (P2*), and Gebha”
The Real Effects of Mandatory Quarterly Reporting (2017, background): “For example, Abarbanell and Bernard (2000) and Bushee (2001) compare the extent to which present values of short-term and long-term future earnings map into current stock prices.”
Correcting for Cross-Sectional and Time-Series Dependence in Accounting Research (2010, unknown): “5 An alternative adjustment, essentially the Abarbanell and Bernard (2000) correction (FM-AB), is evaluated by Petersen (2009), who concludes that the adjustment only does well in correcting FM-t for time-series dependence when the serial correlation is of an autoregressive form and there are in exc”
Do Analysts Practice What They Preach and Should Investors Listen? Effects of Recent Regulations (2009, unknown): “…(decreased) following Reg FD. 27 Standard errors are multiplied by an adjustment factor, (1 ) 2 (1 ) 2 (1 ) (1 ) n n + Φ Φ − Φ − − Φ − Φ , where n is the number of months and Φ is the first-order autocorrelation of the monthly coefficient estimates (Abarbanell and Bernard 2000; Bradshaw 2004).”
Ratio Analysis and Equity Valuation: From Research to Practice (2001, methodology): “It has been applied in recent valuation research and financial statement analysis (in Brief and Lawson (1992), Frankel and Lee (1998), Lee, Myers and Swaminathan (1999), Penman and Sougiannis (1998), Francis, Olsson and Oswald (2000), and Abarbanell and Bernard (2000), for example), and has increasi”
Accounting Choice, Home Bias, and US Investment in Non-US Firms (2004, unknown): “All regressions are estimated yearly with country-adjusted continuous variables and the standard errors are adjusted for serial correlation using the Abarbanell and Bernard [2000] approach.”
R&D Reporting Biases and Their Consequences (2005, unknown): “In both cases we adjusted for serial correlation in the time series of coefficients as in Abarbanell and Bernard (2000).”
The Book-to-Price Effect in Stock Returns: Accounting for Leverage (2007, unknown): “…regression coefficients (which is likely with accounting measures), estimated standard errors are multiplied by 2)1( )1(2 1 1 φ φφ φ φ − − − − + = n k n where φ is the estimated first order autocorrelation coefficient and n equals the number of annual regressions (see Abarbanell and Bernard 2000).”
Corporate Social and Financial Performance Re-Examined: Industry Effects in a Linear Mixed Model Analysis (2011, background): “Empirical research has shown the RIM to have exceptionally good explanatory power for stock price with R2s exceeding .90 (e.g., see Abarbanell and Bernard 2000; Courteau et al. 2001).”
Biased Forecasts or Biased Earnings? The Role of Reported Earnings in Explaining Apparent Bias and Over/Underreaction in Analysts' Earnings Forecasts (2003, unknown): “, 1985; Klein, 1990; Lys and Sohn, 1990; Abarbanell, 1991; Elgers and Murray, 1992; Abarbanell and Bernard, 1992; Chan et al., 1996) and studies investigating over/underreaction to prior earnings changes (see, e.g., De Bondt and Thaler, 1990; Abarbanell and Bernard, 1992; Easterwood and Nutt, 1999).”