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- Publisher
- Wiley
- Copyright
- ©, University of Chicago on behalf of the Accounting Research Center, 2010
- ISSN
- 0021-8456
- eISSN
- 1475-679X
- DOI
- 10.1111/j.1475-679X.2010.00368.x
- Publisher site
- See Article on Publisher Site
Abstract
ABSTRACT This analysis identifies a distinct immediate announcement period negative relation between earnings announcement surprises and aggregate market returns. Such a relation implies that market participants use earnings information in forming expectations about expected aggregate discount rates and, specifically, that good earnings news is associated with a positive shock to required returns. Consistent with this interpretation we find that Treasury bond rates and implied future inflation expectations respond directly to earnings news. We also find some evidence that the negative relation between earnings news and market return persists beyond the immediate announcement period, suggesting that market participants do not immediately fully impound these future market return implications of aggregate earnings news.
Journal
Journal of Accounting Research – Wiley
Published: May 1, 2010