Collins Kothari JAE 1989电子书.pdfVIP

Journal of Accounting and Economics 11 (1989) 143-181. North-Holland AN ANALYSIS OF INTERTEMPORAL AND CROSS-SECTIONAL DETERMINANTS OF EARNINGS RESPONSE COEFFICIENTS* Daniel W. COLLINS University of low, Iowa Ci+, IA 52242, USA Duke lJniversi{v, Durhum, NC 37706, USA S.P. KOTHARI University of Rochester, Rochester, NY 1462 7, USA Received November 1987. final version received February 1989 Stock price change associated with a given unexpected earnings change (the earnings response coefficient) exhibits cross-sectional and temporal variation. We predict and document evidence that the earnings response coefficient is a function of riskless interest rates and the riskiness, growth and/or persistence of earnings. The earnings response coefficient also varies cross-section- ally with the holding period return interval. Collectively, our results explain the previously reported differential earnings response coefficient with respect to size. Moreover, by including the factors noted above, the empirical specification of the earnings/returns relation is significantly improved. 1. Introduction Considerable research has focused on the relation between security returns and unexpected earnings to assess the information content of the latter. Typically, inferences regarding the information