Aggregate accounting earnings can explain most of security returns

摘要: Abstract The paper analyzes the contemporaneous association between market returns and earnings for long return intervals. research design exploits two fundamental accounting attributes: (i) aggregate over periods, (ii) expanding interval which are determined, is likely to reduce ‘measurement errors’ in (aggregate) earnings. These concepts lead level of as a natural variable explaining security returns. We hypothesize that longer aggregated, higher cross-sectional correlation empirical findings support this hypothesis.