Returns-Earnings Regressions: An Integrated Approach

43 Pages Posted: 18 May 1999

See all articles by Eli Bartov

Eli Bartov

NYU Stern School of Business

Stephen Gregory Lynn

City University of Hong Kong (CityUHK) - Department of Accountancy

Joshua Ronen

New York University (NYU) - Department of Accounting

Date Written: February 1999

Abstract

In this paper, we assess the degree to which ERCs reported in the literature may be attenuated due to measurement errors in the proxies for the earnings expected by the market. We use the cross-sectional dispersion of analyst forecasts as a variable to calibrate the measurement error inherent in these proxies. We explore whether forecast dispersion is inversely related to the magnitude of ERCs, and whether ERCs approach their theoretical values as the dispersion decreases sufficiently.

JEL Classification: G12, G14, M41, G29

Suggested Citation

Bartov, Eli and Lynn, Stephen and Ronen, Joshua, Returns-Earnings Regressions: An Integrated Approach (February 1999). Available at SSRN: https://ssrn.com/abstract=163137 or http://dx.doi.org/10.2139/ssrn.163137

Eli Bartov

NYU Stern School of Business ( email )

44 W. 4th Street, Suite 10-96
New York, NY 10012
United States
212.998.0016 (Phone)

Stephen Lynn

City University of Hong Kong (CityUHK) - Department of Accountancy ( email )

83 Tat Chee Avenue
Kowloon
Hong Kong
China

Joshua Ronen (Contact Author)

New York University (NYU) - Department of Accounting ( email )

40 West 4th Street, Suite 400
Suite 10-180
New York, NY 10012-1118
United States
212-998-4144 (Phone)
212-995-4599 (Fax)

HOME PAGE: http://www.stern.nyu.edu/~jronen/

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