FURTHER INSIGHT INTO THE STANDARDIZED UNEXPECTED EARNINGS ANOMALY: SIZE AND SERIAL CORRELATION EFFECTS

FURTHER INSIGHT INTO THE STANDARDIZED UNEXPECTED EARNINGS ANOMALY: SIZE AND SERIAL CORRELATION... Studying size and serial correlation effects, the authors examine why portfolios selected on the basis of standardized unexpected earnings (SUEs) exhibit excess returns. Results of the study indicate that the SUE effect and the size effect are independent anomalies; however, a more plausible explanation of the SUE effect may involve serial correlation of SUEs. The authors demonstrate that more than half of the post‐announcement responses to current quarter earnings may actually be pre‐announcement adjustments to next quarter's earnings. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png The Financial Review Wiley

FURTHER INSIGHT INTO THE STANDARDIZED UNEXPECTED EARNINGS ANOMALY: SIZE AND SERIAL CORRELATION EFFECTS

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Publisher
Wiley
Copyright
Copyright © 1987 Wiley Subscription Services, Inc., A Wiley Company
ISSN
0732-8516
eISSN
1540-6288
DOI
10.1111/j.1540-6288.1987.tb00322.x
Publisher site
See Article on Publisher Site

Abstract

Studying size and serial correlation effects, the authors examine why portfolios selected on the basis of standardized unexpected earnings (SUEs) exhibit excess returns. Results of the study indicate that the SUE effect and the size effect are independent anomalies; however, a more plausible explanation of the SUE effect may involve serial correlation of SUEs. The authors demonstrate that more than half of the post‐announcement responses to current quarter earnings may actually be pre‐announcement adjustments to next quarter's earnings.

Journal

The Financial ReviewWiley

Published: Feb 1, 1987

References

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