We reexamine the time-series properties and determinants of the relation between aggregate earnings and returns (earnings response coefficient, ERC) employing return decompositions with longer historical data. We find that aggregate ERC is time-varying, above and beyond the evidence documented in prior literature that aggregate ERC is negative. We also find the aggregate ERC components--expected return ERC, cash flow news ERC, and discount rate news ERC--are time-varying. We reconcile the prior findings and show that both news and expectations of returns contribute to aggregate ERC and the relative importance of each varies over time. We further show that the timevarying
aggregate ERC and the relative importance of aggregate ERC components are strongly associated with macroeconomic conditions and the stock market regulation environment.
JEL classification: E32, G12, G14, M41
Keywords: Earnings response coefficient, Stock returns, Aggregate earnings, Discount rates, Cash flows, Expected returns
학회소식
[2012년 제 4차] An Analysis of Stock Returns and Aggregate Earnings
작성자 : 관리자
조회수 : 1128
게시일 :
2012-12-12
