Please use this identifier to cite or link to this item: https://ktisis.cut.ac.cy/handle/10488/14570
Title: The relation between changes in the information content of earnings and expected stock returns: Empirical evidence for Japan
Authors: Charitou, Andreas 
Constantinidis, Eleni 
Louca, Christodoulos 
Keywords: Japan;Losses;Profits;Stock returns
Category: Economics and Business
Field: Social Sciences
Issue Date: 2012
Source: Investment Management and Financial Innovations Vol. 9, Issue 1, 2012, p.p. 115-125
Journal: Investment Management and Financial Innovations 
Abstract: This paper examines the relationship between changes in the information content of earnings with expected stock returns for the Japanese market during the period of 1991-2001. Results show that a mimicking portfolio return that relates to changes in the information content of earnings, explains a portion of the cross sectional variation in expected returns. Particularly, investors lower (appreciate) firms' stock price whenever firms experience decreases (increases) in the information content of earnings, to enable them to earn higher (lower) expected returns. This relation remains robust to the inclusion of market, size, and book-to-market factors. In addition, this article investigates the extent to which changes in the information content of earnings relate systematically with size and book-to-market factors. Neither the size effect nor the book-to-market effects are found within the changes in the information content of earnings effect. Overall, the findings suggest that changes in the information content of earnings, is a unique effect not captured by the Fama and French (1992) three-factor model. © Andreas Charitou, Eleni Constantinidis, Christodoulos Louca, 2012.
URI: https://ktisis.cut.ac.cy/handle/10488/14570
ISSN: 1810-4967
Rights: Business Perspectives
Type: Article
Appears in Collections:Άρθρα/Articles

Files in This Item:
File Description SizeFormat
imfi_en_2012_01_Charitou.pdf205.28 kBAdobe PDFView/Open
Show full item record

Page view(s)

5
Last Week
0
Last month
checked on Aug 25, 2019

Download(s)

1
checked on Aug 25, 2019

Google ScholarTM

Check


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.