Earnings response coefficient: applying individual and portfolio methods

• Main Authors: Al-Baidhani, Ahmed Mohsen, Abdullah, Amalina, Ariff, M., Cheng, F. F., Karbhari, Y.
• Format: Article
• Language: English
• Published: Virtus Interpress 2017
• Online Access: http://psasir.upm.edu.my/id/eprint/61531/1/Earnings%20response%20coefficient%2C%20applying%20individual%20and%20portfolio%20methods.pdf; http://psasir.upm.edu.my/id/eprint/61531/; https://virtusinterpress.org/EARNINGS-RESPONSE-COEFFICIENT.html

This paper reports new findings from applying portfolio method, which shows a much bigger earnings impact on share prices (ERC) compared to the erstwhile reports of ERC using individual events, averaged over the sample. We estimate cumulative abnormal returns, CAR, across a test window for each quar...