A returns-based representation of earnings quality

被引：6

作者：

Ecker, Frank ^{[1
]}

Francis, Jennifer ^{[1
]}

Kim, Irene ^{[1
]}

Olsson, Per M. ^{[1
]}

Schipper, Katherine ^{[1
]}

机构：

[1] Duke Univ, Durham, NC 27706 USA

来源：

ACCOUNTING REVIEW | 2006年 / 81卷 / 04期

关键词：

earnings quality; returns-based measures; mimicking factor;

D O I：

暂无

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We examine the properties of a returns-based representation of earnings quality, estimated from firm-specific asset-pricing regressions augmented by an earnings quality mimicking factor. The coefficient on the earnings quality factor (the "e-loading") captures the sensitivity of the firm's returns to earnings quality in a given year or quarter, analogous to beta as a measure of the sensitivity of returns to market movements. Relative to other proxies for earnings quality, e-loadings can be calculated for larger samples of firms and can be estimated for shorter intervals at any point in time. Along all dimensions examined, we find that e-loadings perform well in capturing notions of earnings quality.

引用

页码：749 / 780

页数：32

共 42 条

[1] THE RELATIVE INFORMATIVENESS OF ACCOUNTING DISCLOSURES IN DIFFERENT COUNTRIES [J].