Positive and negative earnings and their interaction with stock returns: empirical evidence from the emerging market of Greece

Panagiotis E. Dimitropoulos and Dimitrios Asteriou

International Journal of Accounting and Finance, 2009, vol. 1, issue 4, 357-374

Abstract: This study investigates the informational content of losses and their effect on the association between earnings and stock returns. Previous studies demonstrated that losses are less informative than positive earnings since they are not expected to prolong (Hayn, 1995). Our results prove that this hypothesis is existent in the Greek capital market. Additionally, the results indicate that the frequency of losses varies with firm size. Also, the estimated Earnings Response Coefficients (ERC) increases as the measurement interval of earnings and returns expands. Finally, the tests for the effect of mean reversion in earnings, as the cause for the low informativeness of losses, did not verify our initial hypothesis. Our results are consistent to earlier studies in the USA, Finland, Australia and the Baltic region.

Keywords: losses; liquidation option; earnings response coefficients; ERC; accounting earnings; financial markets; Greece; positive earnings; negative earnings; stock returns; emerging markets; capital markets; firm size. (search for similar items in EconPapers)
Date: 2009
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.inderscience.com/link.php?id=29144 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ids:intjaf:v:1:y:2009:i:4:p:357-374

Access Statistics for this article

More articles in International Journal of Accounting and Finance from Inderscience Enterprises Ltd
Bibliographic data for series maintained by Sarah Parker ().