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Statistik › Einzelaktien › Aggregate earnings

A strong earnings season does not mean a strong quarter for the index

Worst quartile of aggregate earnings: 7%+7%Worst quartile ofaggregate earningsBest quartile of aggregate earnings: 1%+1%Best quartile ofaggregate earnings

CRSP value-weighted index return by quartile of aggregate earnings change, 1970 to 2000. Every regression specification in the paper is negative, with slopes from minus 3.33 to minus 10.10 and t statistics from minus 2.04 to minus 3.49. Aggregate earnings explain 4% to 8% of quarterly market returns, with the sign inverted from intuition.

At the single stock level a positive earnings surprise predicts a positive return. Aggregate it across the market and the sign flips: quarters with the worst aggregate earnings growth saw the index return about 7%, against about 1% in the best.

About 7%Index return in quarters with the worst aggregate earnings growth
About 1%The same in quarters with the best aggregate earnings growth
6.5%Market return in quarters with negative aggregate earnings growth, t = 2.6
+0.53Firm-level Fama-MacBeth slope, which runs the opposite way

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