Please use this identifier to cite or link to this item: http://buratest.brunel.ac.uk/handle/2438/875
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dc.contributor.authorConstantina, C-
dc.contributor.authorForbes, WP-
dc.contributor.authorSkerratt, L-
dc.coverage.spatial47en
dc.date.accessioned2007-06-26T20:18:26Z-
dc.date.available2007-06-26T20:18:26Z-
dc.date.issued2000-
dc.identifier.citationEconomics and Finance Working papers, Brunel University, 00-14en
dc.identifier.urihttp://bura.brunel.ac.uk/handle/2438/875-
dc.description.abstractWe revisit the debate concerning the interpretation given to prior year’s earnings changes in predicting future earnings as discussed by Abarbanell & Bernard (1992), Francis & Philbrick (1993) and Easterwood and Nutt (1999). We advance a new specification of this relationship which distinguishes between earnings reversion and momentum. On a large UK dataset, we find there is substantial underreaction, particularly in situations of earnings momentum, approximately six times as large as that identified by Abarbanell & Bernard. This suggests that analysts behaviour is still a candidate to explain post earnings announcement drift. We also show that our model performs well relative to a specification recently proposed by Easterwood and Nutt (1999).en
dc.format.extent267296 bytes-
dc.format.mimetypeapplication/pdf-
dc.language.isoen-
dc.publisherBrunel Universityen
dc.titleAnalyst Underreaction to Past Information About Earnings: reporting, processing or plain old misspecification bias?en
dc.typeResearch Paperen
Appears in Collections:Dept of Economics and Finance Research Papers

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