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Article: Earnings dispersion and aggregate stock returns

TitleEarnings dispersion and aggregate stock returns
Authors
KeywordsAccounting valuation
Issue Date2012
Citation
Journal of Accounting and Economics, 2012, v. 53, n. 1-2, p. 1-20 How to Cite?
AbstractThis 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 Identifierhttp://hdl.handle.net/10722/227996
ISSN
2015 Impact Factor: 3.535
2015 SCImago Journal Rankings: 6.834

 

DC FieldValueLanguage
dc.contributor.authorJorgensen, Bjorn-
dc.contributor.authorLi, Jing-
dc.contributor.authorSadka, Gil-
dc.date.accessioned2016-08-01T06:44:55Z-
dc.date.available2016-08-01T06:44:55Z-
dc.date.issued2012-
dc.identifier.citationJournal of Accounting and Economics, 2012, v. 53, n. 1-2, p. 1-20-
dc.identifier.issn0165-4101-
dc.identifier.urihttp://hdl.handle.net/10722/227996-
dc.description.abstractThis 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.languageeng-
dc.relation.ispartofJournal of Accounting and Economics-
dc.subjectAccounting valuation-
dc.titleEarnings dispersion and aggregate stock returns-
dc.typeArticle-
dc.description.natureLink_to_subscribed_fulltext-
dc.identifier.doi10.1016/j.jacceco.2011.06.001-
dc.identifier.scopuseid_2-s2.0-84857046217-
dc.identifier.volume53-
dc.identifier.issue1-2-
dc.identifier.spage1-
dc.identifier.epage20-

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