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Probability of meeting/beating analy...

Cheng, Mei.

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Probability of meeting/beating analysts' forecasts and market reaction to earnings announcements.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Probability of meeting/beating analysts' forecasts and market reaction to earnings announcements./
Author:	Cheng, Mei.
Description:	59 p.
Notes:	Source: Dissertation Abstracts International, Volume: 67-10, Section: A, page: 3881.
Contained By:	Dissertation Abstracts International67-10A.
Subject:	Business Administration, Accounting. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3238318
ISBN:	9780542927935

Probability of meeting/beating analysts' forecasts and market reaction to earnings announcements.
Cheng, Mei.

Probability of meeting/beating analysts' forecasts and market reaction to earnings announcements. - 59 p.

Source: Dissertation Abstracts International, Volume: 67-10, Section: A, page: 3881.

Thesis (Ph.D.)--University of Southern California, 2006.

In this paper, I hypothesize that market reaction to meeting/beating (missing) earnings expectations depends on its unexpected component, which is related to the ex ante probability that a firm will meet/beat expectations (MBE probability). I first empirically model the ex ante MBE probability using a vector of variables that is available to the market prior to earnings announcements. I then generate out-of-sample estimates of the MBE probability, which I use to explain cross-sectional variation in market reaction to earnings announcements. As predicted, I find that when firms with high MBE probabilities miss (meet/beat) analysts' consensus forecasts, their three-day abnormal returns around earnings announcements are significantly more negative (less positive) than those with low MBE probabilities. These results are robust to controlling for unexpected earnings and other determinants of stock returns around earnings announcements. Overall, I contribute to the literature on meeting/beating expectations by providing a rational explanation for cross-sectional variation in market reaction to meeting/beating or missing earnings expectations.

ISBN: 9780542927935Subjects--Topical Terms:

1020666
Business Administration, Accounting.

Probability of meeting/beating analysts' forecasts and market reaction to earnings announcements.
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100 1 $a Cheng, Mei. $3 1920212
245 1 0 $a Probability of meeting/beating analysts' forecasts and market reaction to earnings announcements.
300 $a 59 p.
500 $a Source: Dissertation Abstracts International, Volume: 67-10, Section: A, page: 3881.
500 $a Adviser: K. R. Subramanyam.
502 $a Thesis (Ph.D.)--University of Southern California, 2006.
520 $a In this paper, I hypothesize that market reaction to meeting/beating (missing) earnings expectations depends on its unexpected component, which is related to the ex ante probability that a firm will meet/beat expectations (MBE probability). I first empirically model the ex ante MBE probability using a vector of variables that is available to the market prior to earnings announcements. I then generate out-of-sample estimates of the MBE probability, which I use to explain cross-sectional variation in market reaction to earnings announcements. As predicted, I find that when firms with high MBE probabilities miss (meet/beat) analysts' consensus forecasts, their three-day abnormal returns around earnings announcements are significantly more negative (less positive) than those with low MBE probabilities. These results are robust to controlling for unexpected earnings and other determinants of stock returns around earnings announcements. Overall, I contribute to the literature on meeting/beating expectations by providing a rational explanation for cross-sectional variation in market reaction to meeting/beating or missing earnings expectations.
590 $a School code: 0208.
650 4 $a Business Administration, Accounting. $3 1020666
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710 2 0 $a University of Southern California. $3 700129
773 0 $t Dissertation Abstracts International $g 67-10A.
790 1 0 $a Subramanyam, K. R., $e advisor
790 $a 0208
791 $a Ph.D.
792 $a 2006
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3238318