Artikel
Aggregate earnings-returns relation: insights from REITs
Prior research generally reports a positive relationship between firm-level accounting earnings surprises and contemporaneous stock prices, indicating that accounting earnings carry value-relevant information. Recent studies, however, show that investors respond negatively to unexpected changes in aggregate earnings. These findings present a puzzle for researchers. We examine the earnings/return association at the firm- and aggregate-level using a dataset of all publicly listed US REITs from 1998 to 2018. The analysis aims to know whether the negative association between the two variables exists in industry-level data, specifically REITs. We fail to find an inverse relationship between aggregate earnings changes and concurrent stock returns in REITs; yet, our data support the notion that aggregate level accounting income is relatively more predictable than firm-level income. Our results indicate that the previously observed negative aggregate earnings/return relation seems to be triggered by information transfer across various industrial sectors.
- Language
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Englisch
- Bibliographic citation
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Journal: Cogent Business & Management ; ISSN: 2331-1975 ; Volume: 9 ; Year: 2022 ; Issue: 1 ; Pages: 1-28
- Classification
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Management
- Subject
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information asymmetry
aggregate earnings
earnings predictability
REITs
stock returns
- Event
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Geistige Schöpfung
- (who)
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Ali, Ijaz
- Event
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Veröffentlichung
- (who)
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Taylor & Francis
- (where)
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Abingdon
- (when)
-
2022
- DOI
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doi:10.1080/23311975.2022.2122329
- Last update
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10.03.2025, 11:43 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Ali, Ijaz
- Taylor & Francis
Time of origin
- 2022
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