The Short Horizon Predictive Content of Aggregate Earnings
William M. Cready
University of Texas at Dallas - Naveen Jindal School of Management
Umit G. Gurun
University of Texas at Dallas
August 20, 2009
Evidence documented in Howe, Unlu, and Yan  shows that aggregate analyst recommendations are useful in predicting short horizon (quarter-ahead) aggregate excess market returns. In this paper we find that aggregate earnings measures constructed from underlying announcements are also very useful for predicting short horizon excess market returns, at least in the time period for which aggregate analyst recommendation data are available. An equal-weighted average of aggregate earnings explains around 17% of the variation in quarter ahead excess return. Moreover, dividend yield and aggregate analyst recommendation indices lack significance in models including this equal-weighted index.
Number of Pages in PDF File: 31
Keywords: Corporate Earnings, Excess Aggregate Market Return, Analyst Recommendations
JEL Classification: G15, G21working papers series
Date posted: September 2, 2009
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