The Empirical Relationship Between Earnings Information and Stock Returns

被引：0

作者：

Chen, Hsin-Hung ^{[1
]}

Lee, Hsien-Yi ^{[1
]}

Lee, Hsiu-Yu ^{[1
]}

机构：

[1] Cheng Shiu Univ, Kaohsiung, Taiwan

来源：

EMERGING MARKETS FINANCE AND TRADE | 2014年 / 50卷

关键词：

earnings growth rate; portfolio; stock return; Taiwan stock market; vector autoregressive model; INSTITUTIONAL OWNERSHIP; CROSS-AUTOCORRELATIONS; DELAYED-REACTION; EQUITY RETURNS;

D O I：

10.2753/REE1540-496X5005S513

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The objective of this study was to examine, using a vector autoregressive model, whether the difference in earnings growth rates caused different reaction speeds in stock prices. Monthly returns of stocks listed in the Taiwan stock market from May 2003 to April 2013 were used as empirical data in this study. The analytical results showed that the returns of portfolios with higher earnings growth rates significantly led those portfolios with lower earnings growth rates when size, trading volume, institutional ownership ratio, and revenue factors were controlled, respectively. This paper finds that the earnings growth rate is a significant determinant of the lead-lag patterns observed in monthly stock returns.

引用

页码：186 / 196

页数：11

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