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Stats › Individuele aandelen › 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

Alleen voor leden

De rest van deze pagina is voor leden

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.

Je kunt elke statistiek in de bibliotheek gratis blijven bekijken. De intro en de samenvatting zijn altijd open.