Persistence effects on trading activity /
This study investigates the relation between the persistence of firms' earnings and the stock market reactions to the earnings announcements. I investigate three measures of persistence: a time-series model for quarterly earnings, an analysts revision measure, and Ou and Penman's P-r (198...
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| Format: | Thesis Book |
| Language: | English |
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[Place of publication not identified] :
[publisher not identified] ;
1998.
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| Online Access: | http://proxy.library.tamu.edu/login?url=http://proquest.umi.com/pqdweb?did=737692801&sid=1&Fmt=2&clientId=2945&RQT=309&VName=PQD |
| Summary: | This study investigates the relation between the persistence of firms' earnings and the stock market reactions to the earnings announcements. I investigate three measures of persistence: a time-series model for quarterly earnings, an analysts revision measure, and Ou and Penman's P-r (1989a and 1989b). To investigate the market reaction, I use price and both volume and number of transactions. To investigate whether or not earnings persistence affects trade size, I use mean transaction response. By examining trading response, it is possible to use persistence as both an interaction with unexpected earnings, and as a main effect. While previous price studies have investigated persistence only as an interaction, a multiplier of unexpected earnings, this study investigates persistence as a main effect. Accordingly, I hypothesize that firms with higher persistence have more informative earnings signals, which are,, in turn, associated with larger trading reactions. Results support this interpretation of persistence as a measure of information quality with both the time-series and P-r measures of persistence. Firms with higher persistence are associated with greater trading responses. Unexpectedly, I find that the multiplier effect of persistence (i.e., persistence as an interaction with unexpected earnings) is positively associated with price reaction, but not consistently associated with trading reaction. |
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| Item Description: | Vita. "Major Subject: Accounting". |
| Physical Description: | vi, 92 leaves ; 28 cm. Issued also on microfiche from University Microfilms Inc. |
| Bibliography: | Includes bibliographical references: pages 78-82. |