English
Iscriviti alla lista d'attesa
I libri... però non gratis
10 Strategier Som Slår BörsenSvenska10 Strategier Som Slår Börsen10 Strategies That Beat the MarketEnglish10 Strategies That Beat the MarketProRealTime Coding Made SimpleEnglishProRealTime Coding Made Simple
600+StatisticheStatistiche di mercato ed edge1,327StrategieLibreria di strategie testate18Paper di ricercaLo studio dietro gli algo301DocumentazioneRiferimento ProBuilder27Programma di sviluppo algoCorsi e lezioni24Tutto questo alimenta i 24 algoVedi gli algo

Statistiche › Singoli titoli › 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

Solo per membri

Il resto di questa pagina è per i membri

Below this point there are 5 sections and 1 named source, roughly 500 words of it. Every figure carries the source it came from and the date the data is from.

Puoi continuare a consultare gratuitamente ogni statistica della libreria. L'introduzione e il riepilogo sono sempre accessibili.