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Cited by 380

The DOI matches its Crossref record; 39 of the 39 references it cites were found in a registry or an index.

Stock returns, aggregate earnings surprises, and behavioral finance

Open access
Kothari, S.P., Lewellen, Jonathan, Warner, Jerold B.·2006·Journal of Financial Economics
DOI 10.1016/j.jfineco.2004.06.016
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Abstract

We study the stock market reaction to aggregate earnings news. Previous research shows that, for individual firms, stock prices react positively to earnings news but require several quarters to fully reflect the information in earnings. We find that the relation between returns and earnings is substantially different in aggregate data. First, returns are unrelated to past earnings, suggesting that prices neither underreact nor overreact to aggregate earnings news. Second, aggregate returns are negatively correlated with concurrent earnings; over the last 30 years, stock prices increased 6.5% in quarters with negative earnings growth and only 1.9% otherwise. This finding suggests that earnings and discount rates move together over time, and provides new evidence that discount-rate shocks explain a significant fraction of aggregate stock returns

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Metadata

Authors
Kothari, S. P., Lewellen, J., & Warner, J. B.
Venue
Journal of Financial Economics
Publisher
Elsevier BV
Published
2006-03
Volume
79
Issue
3
Pages
537-568
ISSN
0304-405X (ISSN-L)
DOI
10.1016/j.jfineco.2004.06.016
OpenAlex
W3121288394
Cited by
380
References
39
FWCI
17.04
Type
journal article
Language
en
Open access
green

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CoChat. (2026). Citation check: Stock returns, aggregate earnings surprises, and behavioral finance. https://app.cochat.ai/papers/10.1016/j.jfineco.2004.06.016
The paper
Kothari, S. P., Lewellen, J., & Warner, J. B. (2006). Stock returns, aggregate earnings surprises, and behavioral finance. Journal of Financial Economics. https://doi.org/10.1016/j.jfineco.2004.06.016

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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.