Abstract

http://ssrn.com/abstract=1465740
 
 

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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


Abstract:     
Evidence documented in Howe, Unlu, and Yan [2009] 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, G21

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Date posted: September 2, 2009  

Suggested Citation

Cready, William M. and Gurun, Umit G., The Short Horizon Predictive Content of Aggregate Earnings (August 20, 2009). Available at SSRN: http://ssrn.com/abstract=1465740 or http://dx.doi.org/10.2139/ssrn.1465740

Contact Information

William M. Cready (Contact Author)
University of Texas at Dallas - Naveen Jindal School of Management ( email )
P.O. Box 830688
Richardson, TX 75083-0688
United States
Umit G. Gurun
University of Texas at Dallas
2601 North Floyd Road
Richardson, TX 75083
United States
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