Browsing by Research Output - Subject "Annual Earning"

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