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THE EARNINGS‐PRICE AND STANDARDIZED UNEXPECTED EARNINGS EFFECTS: ONE ANOMALY OR TWO?
Author(s) -
Wiggins James B.
Publication year - 1991
Publication title -
journal of financial research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.319
H-Index - 49
eISSN - 1475-6803
pISSN - 0270-2592
DOI - 10.1111/j.1475-6803.1991.tb00664.x
Subject(s) - earnings , earnings surprise , post earnings announcement drift , anomaly (physics) , economics , price–earnings ratio , econometrics , earnings response coefficient , monetary economics , accounting , earnings per share , physics , condensed matter physics
Abstract In this paper prior work on earnings‐price (E/P) and standardized unexpected earnings (SUE) anomalies is re‐examined and extended. A relation between excess returns and E/P is tested controlling for SUE. Results suggest that both anomalies are still present in the data, and that the E/P effect exists independently of the most recent earnings surprise.