Aggregate Earnings and Market Returns: International Evidence

2011 ◽  
Author(s):  
Wen He ◽  
Maggie Rong Hu
Keyword(s):  
Market Returns ◽  
International Evidence ◽  
Aggregate Earnings

Aggregate Earnings and Market Returns: International Evidence

2014 ◽  
Vol 49 (4) ◽  
pp. 879-901 ◽  
Author(s):  
Wen He ◽  
Maggie (Rong) Hu
Keyword(s):  
United States ◽  
The United States ◽  
Financial Disclosure ◽  
Market Returns ◽  
Negative Relation ◽  
International Evidence ◽  
Aggregate Earnings

AbstractKothari, Lewellen, and Warner (2006) document that aggregate earnings changes in the United States arenegativelyrelated to contemporaneous market returns. In this study we show that this negative aggregate earnings-returns relation is unique to the United States. In 28 non-U.S. markets, aggregate earnings changes arepositivelyassociated with contemporaneous market returns. Further evidence shows that the aggregate earnings-returns relation becomes less positive in countries with more transparent financial disclosure that helps investors forecast earnings more precisely. Our result supports Sadka and Sadka’s (2009) argument that predictability of aggregate earnings leads to the negative relation between aggregate earnings and market returns in the United States.

scholarly journals Dissecando Anomalias com o Modelo de Cinco Fatores para Mercado Acionário Brasileiro

2018 ◽  
Vol 16 (1) ◽  
pp. 81
Author(s):  
Alexandre Schwinden Garcia ◽  
André Alves Portela Santos
Keyword(s):  
Crucial Role ◽  
Small Firms ◽  
Pricing Model ◽  
Market Returns ◽  
International Evidence ◽  
Fama And French ◽  
High Beta

This article estimates for the Brazilian market the multifactor pricing model proposed by Fama and French (2015, 2016) and provides a detail of five anomalies: beta, net share issues, momentum, volatility and accruals. The results indicate that the inclusion of the profitability factor proposed in Fama and French (2015) plays a crucial role in reducing the magnitude of the intercepts and of the GRS statistic for all size-anomaly sorted portfolios considered in the article. Consistent with international evidence, the results indicate, among other things, that (i) companies that repurchase shares have higher returns and are more conservative in terms of investment, (ii) firms with lower volatility have higher returns, and are less sensitive to the market returns, (iii) small firms are more aggressive in terms of investment and less profitable, (iv) high beta was associated with higher returns only among small firms and (v) average returns of companies with high accruals is higher in comparison to those of companies with low accruals.

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