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Earnings Announcements And Auto-Correlation: An Empirical Test

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  • Stewart L. Brown

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  • Stewart L. Brown, 1979. "Earnings Announcements And Auto-Correlation: An Empirical Test," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 2(2), pages 171-183, September.
    • Handle: RePEc:bla:jfnres:v:2:y:1979:i:2:p:171-183
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    File URL: http://hdl.handle.net/10.1111/j.1475-6803.1979.tb00029.x
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    References listed on IDEAS

    as
    1. Brown, Stewart L, 1978. "Earnings Changes, Stock Prices, and Market Efficiency," Journal of Finance, American Finance Association, vol. 33(1), pages 17-28, March.
    2. Young, William E, 1971. "Random Walk of Stock Prices: A Test of the Variance-Time Function," Econometrica, Econometric Society, vol. 39(5), pages 797-812, September.
    3. Ball, R & Brown, P, 1968. "Empirical Evaluation Of Accounting Income Numbers," Journal of Accounting Research, Wiley Blackwell, vol. 6(2), pages 159-178.
    4. Firth, Michael A, 1976. "The Impact of Earnings Announcements on the Share Price Behaviour of Similar Type Firms," Economic Journal, Royal Economic Society, vol. 86(342), pages 296-306, June.
    5. Schwartz, Robert A. & Whitcomb, David K., 1977. "Evidence on the Presence and Causes of Serial Correlation in Market Model Residuals," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(2), pages 291-313, June.
    6. Fama, Eugene F & MacBeth, James D, 1973. "Risk, Return, and Equilibrium: Empirical Tests," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 607-636, May-June.
    7. Fama, Eugene F, et al, 1969. "The Adjustment of Stock Prices to New Information," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 10(1), pages 1-21, February.
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    Cited by:

    1. Dyl, Edward A. & Yuksel, H. Zafer & Zaynutdinova, Gulnara R., 2019. "Price reversals and price continuations following large price movements," Journal of Business Research, Elsevier, vol. 95(C), pages 1-12.

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