Earnings Response Coefficient Models: Synthesis and Extensions

23 Pages Posted: 19 May 2006

See all articles by Nandkumar Nayar

Nandkumar Nayar

Lehigh University - College of Business & Economics

Michael S. Rozeff

SUNY at Buffalo - Department of Financial & Managerial Economics

Date Written: September 1992

Abstract

We provide a rigorous and comprehensive set of derivations of earnings response coefficient models in levels and changes forms. Reverse return coefficient models are also derived. The models all are variants on the present value of dividends model of stock prices. Most of these models do not appear in the literature or appear only implicitly. We start with the simplest 100 percent payout model and work up to IMA (1,1) processes for earnings. We also model the case in which the information set is more than earnings. The approach introduced in this article provides a firm basis for further extensions.

Keywords: Earnings response coefficient, present value of dividends model

JEL Classification: G12, M41

Suggested Citation

Nayar, Nandkumar and Rozeff, Michael S., Earnings Response Coefficient Models: Synthesis and Extensions (September 1992). Available at SSRN: https://ssrn.com/abstract=903300 or http://dx.doi.org/10.2139/ssrn.903300

Nandkumar Nayar

Lehigh University - College of Business & Economics ( email )

621 Taylor Street, Rauch Business Center
Lehigh University
Bethlehem, PA 18015-3117
United States
610-758-4161 (Phone)
610-758-6429 (Fax)

Michael S. Rozeff (Contact Author)

SUNY at Buffalo - Department of Financial & Managerial Economics ( email )

Buffalo, NY 14260
United States

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