Access the full text.
Sign up today, get DeepDyve free for 14 days.
Black Black (1986)
NoiseJournal of Finance, 41
Roll Roll (1988)
R 2Journal of Finance, 43
Collins Collins, Kothari Kothari, Shanken Shanken, Sloan Sloan (1994)
Lack of Timeliness and Noise as Explanations for the Low Contemporaneous Return‐Earnings AssociationJournal of Accounting and Economics, 18
Kothari Kothari, Shanken Shanken (1992)
Stock Return Variation and Expected Dividends: A Time‐Series and Cross‐Sectional AnalysisJournal of Financial Economics, 31
Morck Morck, Yeung Yeung, Yu Yu (2000)
The Information Content of Stock Markets: Why Do Emerging Markets Have Synchronous Stock Price Movements?Journal of Financial Economics, 59
Campbell Campbell, Lettau Lettau, Malkiel Malkiel, Xu Xu (2001)
Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic RiskJournal of Finance, 56
Hadi Hadi (1992)
Identifying Multiple Outliers in Multivariate DataJournal of the Royal Statistical Society, 54
Freeman Freeman (1987)
The Association Between Accounting Earnings and Security Returns for Large and Small FirmsJournal of Accounting and Economics, 9
West West (1988)
Dividend Innovations and Stock Price VolatilityEconometrica, 56
Ohlson Ohlson (Spring 1995)
Earnings, Book Values, and Dividends in Equity ValuationContemporary Accounting Research
Wurgler Wurgler (2000)
Financial Markets and the Allocation of CapitalJournal of Financial Economics, 58
Durnev Durnev, Morck Morck, Yeung Yeung (2003)
Value Enhancing Capital Budgeting and Firm‐Specific Stock Return VariationJournal of Finance
Tobin Tobin (1982)
On the Efficiency of the Financial SystemLloyd's Banking Review, 153
Basu Basu (1997)
The Conservatism Principle and the Asymmetric Timeliness of EarningsJournal of Accounting and Economics, 24
Collins Collins, Kothari Kothari (1989)
An Analysis of Intertemporal and Cross‐Sectional Determinants of Earnings Response CoefficientsJournal of Accounting and Economics, 11
Beaver Beaver, Ryan Ryan (NovemberDecember, 1993)
Accounting Fundamentals of the Book‐to‐Market RatioFinancial Analysts Journal
Gelb Gelb, Zarowin Zarowin (2002)
Corporate Disclosure Policy and the Informativeness of Stock PricesReview of Accounting Studies, 7
Kothari Kothari, Sloan Sloan (1992)
Information in Prices About Future Earnings: Implications for Earnings Response CoefficientsJournal of Accounting and Economics, 15
Lundholm Lundholm, Myers Myers (2003)
Bringing the Future Forward: The Effect of Voluntary Disclosure on the Returns‐Earnings RelationJournal of Accounting Research
Warfield Warfield, Wild Wild (1992)
Accounting Recognition and the Relevance of Earnings as an Explanatory Variable for ReturnsThe Accounting Review, 67
Bushman Bushman, Smith Smith (2001)
Financial Accounting Information and Corporate GovernanceJournal of Accounting and Economics, 32
Hadi Hadi (1994)
A Modification of a Method for the Detection of Outliers in Multivariate SamplesJournal of the Royal Statistical Society, 56
Collins Collins, Kothari Kothari, Rayburn Rayburn (1987)
Firm Size and the Information Content of Prices With Respect to EarningsJournal of Accounting and Economics, 9
ABSTRACT Roll (1988) observes low R2 statistics for common asset pricing models due to vigorous firm‐specific return variation not associated with public information. He concludes that this implies “either private information or else occasional frenzy unrelated to concrete information”(p. 56). We show that firms and industries with lower market model R2 statistics exhibit higher association between current returns and future earnings, indicating more information about future earnings in current stock returns. This supports Roll's first interpretation: higher firm‐specific return variation as a fraction of total variation signals more information‐laden stock prices and, therefore, more efficient stock markets.
Journal of Accounting Research – Wiley
Published: Dec 1, 2003
Read and print from thousands of top scholarly journals.
Already have an account? Log in
Bookmark this article. You can see your Bookmarks on your DeepDyve Library.
To save an article, log in first, or sign up for a DeepDyve account if you don’t already have one.
Copy and paste the desired citation format or use the link below to download a file formatted for EndNote
Access the full text.
Sign up today, get DeepDyve free for 14 days.
All DeepDyve websites use cookies to improve your online experience. They were placed on your computer when you launched this website. You can change your cookie settings through your browser.