Price and return models

Kothari, S.P.; Zimmerman, Jerold L.

doi:10.1016/0165-4101(95)00399-4

Cited by 541 publications

(390 citation statements)

References 53 publications

Supporting

Mentioning

338

Contrasting

Unclassified

Order By: Relevance

“…Comme dans le cadre de la perspective de valorisation, on cherche plutôt à examiner si les éléments ou les phénomènes étudiés sont reliés à la valeur accordée aux actions des entreprises par les investisseurs après coup, les modèles empiriques utilisés ne sont pas soumis aux mêmes contraintes méthodologiques. En plus de ces raisons, les travaux de Kothari et Zimmerman (1995) tendent à démontrer que les modèles utilisés dans les études de la perspective de valorisation donnent des coefficients moins biaisés que ceux des études de la perspective informationnelle.…”

Section: Resultsunclassified

Qu’en est-il d’ISO 14000 du point de vue des investisseurs1 ?

Berthelot

McGraw

2004

rum

View full text Add to dashboard Cite

L’étude a pour objectif d’évaluer la prise en compte par les investisseurs de l’homologation des entreprises à la série des normes ISO 14000. Les résultats de l’étude, menée auprès d’un échantillon d’entreprises opérant dans le secteur d’activité des pâtes et papiers et produits forestiers, corroborent la possibilité que l’homologation des entreprises à la série des normes ISO 14000 est vue d’un oeil positif par les investisseurs.The object of this paper was to estimate the valuation by investors of the certification of companies to the series of standards ISO 14000. The results of the study, based on a sample of companies in the pulp and paper and forest products sector, confirm the possibility that the certification of companies in the series of standards ISO 14000 is seen positively by the investors

show abstract

Section: Resultsunclassified

Qu’en est-il d’ISO 14000 du point de vue des investisseurs1 ?

Berthelot

McGraw

2004

rum

View full text Add to dashboard Cite

show abstract

“…The results obtained confirmed that P t is informationally richer than X t . Other important studies were those of Kothari (1992), Kothari and Sloan (1992) and Kothari and Zimmerman (1995), who discussed and demonstrated the effects of this phenomenon on econometric models that addressed the price-earnings ratio -traditionally used up until then in the international literature -and offered alternatives to mitigate them.…”

Section: Theoretical Frameworkmentioning

confidence: 99%

“…Under this concept, it is assumed that prices contain more information about future earnings than the series of current and past earnings, i.e., prices have informational content regarding future earnings (Beaver et al, 1980;Kothari & Zimmerman, 1995). One implication of this phenomenon is that market expectations for earnings are different from expectations based on the earnings time series.…”

Section: Introductionmentioning

confidence: 99%

“…Accounting earnings tend to have a delayed response to the relevant events considered by the market when valuing stock (Beaver, Lambert & Morse, 1980). The primary implication of this delay is that only part of the contemporaneous variation in earnings is a surprise to the market with respect to the expectations regarding future earnings (Collins, Kothari, Shanken & Sloan, 1994;Kothari & Zimmerman, 1995).…”

Section: Introductionmentioning

confidence: 99%

“…The portion of information about future earnings that is not expressed by current earnings is an important variable that is omitted in the traditional model of the returnearnings relationship contributes, alongside the competing effect of information obtained from other sources, to obtaining low and biased response coefficients for earnings and a low explanatory power for the models 1 (Kothari & Zimmerman, 1995;Kothari, 2001).…”

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

Prices lead earnings no Brasil?

Santos

Mól

Anjos

et al. 2013

Rev. contab. finanç.

View full text Add to dashboard Cite

This article aims to identify the timing of the return-earnings relationship in Brazil, that is, the degree of time lag between the occurrences of the variables. This research was developed based on assumptions from the prices lead earnings hypothesis, the fundamental premise of which is that the stock price is informationally richer than the current and past accounting earnings in terms of future earnings, which invalidates the establishment of a contemporaneous relationship (timing zero) between these variables. This research was conducted by means of pooled regression using panel data (fixed effects and random effects). Four models were employed in total. A total of 205 firms were analyzed over 53 quarters (1999 to 2012), resulting in 8,440 firm-quarters. The results indicated that accounting earnings alone are not informationally contemporaneous to stock price. However, when the effects of future earnings on this relationship were eliminated, it was found that there are signs of timeliness. Furthermore, it was found that the returns anticipated information about future earnings. The identified associations suggest that this anticipation occurs over at least eight quarters. However, it was not possible to determine the timing of the quarterly return-earnings relationship in Brazil because, on the one hand, past returns are associated with current earnings and, on the other, the significance of future earnings in explaining current returns depends on the arrangement of the independent variables in the model. Nevertheless, it is clear that the results converge with a timing equal to 1, in which the return anticipates earnings in the following period, a result that was independent of the addition of the other variables in the model.

show abstract

Sustainability restatements, firm risk and controversial industries: Analysing the signals based on revision type

Martínez‐Ferrero

Guidi

García‐Meca

2022

Corp Soc Responsibility Env

View full text Add to dashboard Cite

This study analyses the relationship between sustainability reporting and firm risk by investigating the correlation between sustainability restatements and stock return volatility. Regression models, employed on a sample of 1580 sustainability reports by 353 European companies, evidence the risk relevance of restatement issuance. Investors interpret different signals, reacting with diverse feedbacks, based on the type of revision and whether the firm belongs to controversial industries or not. In general, restatements decrease firm risk when their purpose is to update reporting methodologies, while the opposite effect occurs when they amend errors and omissions. For companies operating in controversial industries, both types of sustainability restatement increase firm risk, with a stronger correlation when revisions redress errors or omissions. Given that sustainability reporting is still characterised by frequent standard and methodology updates, that often lead to the issuance of restatements, this study presents insights for companies and investors.

show abstract

Price and return models

Cited by 541 publications

References 53 publications

Qu’en est-il d’ISO 14000 du point de vue des investisseurs1 ?

Qu’en est-il d’ISO 14000 du point de vue des investisseurs1 ?

Prices lead earnings no Brasil?

Sustainability restatements, firm risk and controversial industries: Analysing the signals based on revision type

Contact Info

Product

Resources

About