Please use this identifier to cite or link to this item: http://hdl.handle.net/20.500.11861/4215
Title: A replication study of Ball and Brown (1968): Comparative analysis of China and the US
Authors: Dr. CHEN Wan Yu, Tina 
Huang, Wenli 
Issue Date: 2014
Source: China Accounting and Finance Review, Jun 2014, vol. 16(2), pp. 66-89.
Journal: 中國會計與財務研究 = China Accounting and Finance Review 
Abstract: We replicate Ball and Brown (1968) using current US and Chinese data. We demonstrate that the significant relation between annual earnings changes and annual stock returns documented in Ball and Brown (1968) extends and holds to recent US data over the period 1971-2011 and that stock prices continue to react with some delay to unexpected earnings. This association result is confirmed using Chinese data over the period 1995-2011. However, our analysis reveals a key difference in relative magnitude -- the Chinese stock market responds much more strongly to good news, and much less strongly to bad news, than the US market.... -- Abstract
Type: Peer Reviewed Journal Article
URI: http://hdl.handle.net/20.500.11861/4215
ISSN: 1029-807x
Appears in Collections:Accounting - Publication

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