The Security Market's Reaction to Firms' Quarterly Earnings Evidencing Varying Degrees of Autocorrelation

Allen W. Bathke, Kenneth S. Lorek, G. Lee Willinger

Research output: Chapter in Book/Report/Conference proceedingChapter

Abstract

On a full sample basis, our results are consistent with a security market that significantly underestimates the magnitude of autocorrelation at the 1st and 4th lags where autocorrelation is high but estimates autocorrelation unbiasedly at lags 2 and 3 where autocorrelation is low. Reinforcing the full sample results, when we partition the sample firms into subsamples based upon the magnitude of first lag autocorrelation, we find results consistent with the security market significantly underestimating the level of autocorrelation at the 1st lag for the high autocorrelation subsample of firms, but not for the moderate and low autocorrelation subsamples.

Original languageEnglish (US)
Title of host publicationAdvances in Accounting
EditorsPhilip Reckers, Salvador Carmona, Govind Iyer, Eric Johnson, Loren Margheim, Richard Morton
Pages29-43
Number of pages15
DOIs
StatePublished - Jun 7 2006

Publication series

NameAdvances in Accounting
Volume22
ISSN (Print)0882-6110

    Fingerprint

ASJC Scopus subject areas

  • Accounting
  • Finance

Cite this

Bathke, A. W., Lorek, K. S., & Lee Willinger, G. (2006). The Security Market's Reaction to Firms' Quarterly Earnings Evidencing Varying Degrees of Autocorrelation. In P. Reckers, S. Carmona, G. Iyer, E. Johnson, L. Margheim, & R. Morton (Eds.), Advances in Accounting (pp. 29-43). (Advances in Accounting; Vol. 22). https://doi.org/10.1016/S0882-6110(06)22002-9