منابع مشابه
Evolution of earnings-to-price ratios: International evidence
Article history: Received 30 August 2009 Accepted 15 May 2010 Available online 1 July 2010 In this paper, we examine the pattern of historical evolution of international earnings-to-price ratios for a sample of 17 developed markets over the period 1980–2008. Using a measure of distance between earnings-to-price ratios of international stock markets, we find that earnings-to-price ratios of 17 m...
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We show that stocks with higher idiosyncratic volatility display greater price momentum; a relation which is economically large, statistically significant, and robust. Stocks with higher idiosyncratic volatility also experience quicker and larger reversals. These findings are consistent with the view that momentum profits are attributable to underreaction to firm-specific information. Our findi...
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This paper examines price formation subsequent to management forecasts of quarterly earnings. Consistent with prior studies, we find that the short-term market reaction to bad news forecasts is much larger than that to good news forecasts. Examining returns in the post-guidance period, we find a significant upward drift for both good and bad news forecasts. The asymmetry in the initial market r...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2009
ISSN: 1556-5068
DOI: 10.2139/ssrn.1102689