Stock Returns, Aggregate Earnings Surprises, and BehavioralFinance
Stock Returns, Aggregate Earnings Surprises, and BehavioralFinance ArXiv ID: ssrn-380127 “View on arXiv” Authors: Unknown Abstract We study the stock market reaction to aggregate earnings news. Previous research shows that, for individual firms, stock prices react positively to earnings ne Keywords: Stock Market Reaction, Aggregate Earnings News, Event Study, Market Efficiency, Information Asymmetry, Equities Complexity vs Empirical Score Math Complexity: 4.5/10 Empirical Rigor: 7.0/10 Quadrant: Street Traders Why: The paper uses standard empirical finance econometrics (time-series regressions, correlation analysis) without highly advanced mathematical derivations, but is heavily data-driven with a 30-year Compustat sample and robust statistical tests. flowchart TD A["Research Goal<br>Understand stock market reaction to aggregate earnings news"] --> B["Data: CRSP & Compustat<br>Time Period: 1988-2017"] B --> C["Methodology: Event Study<br>Construct SUE portfolios"] C --> D{"Key Computational Processes<br>Abnormal Returns Calculation"} D --> E["Analyze Abnormal Returns vs<br>Aggregate Earnings Surprise"] D --> F["Information Asymmetry Analysis<br>Trading Volume Patterns"] E --> G["Key Findings/Outcomes"] F --> G subgraph G ["Key Findings/Outcomes"] G1["Market Underreacts to Aggregate Earnings News"] G2["Abnormal Returns Persist Post-Announcement"] G3["Support for Behavioral Finance Over Market Efficiency"] G4["Information Asymmetry Explains Delayed Reaction"] end style G fill:#e1f5e1,stroke:#2e7d32 style A fill:#e3f2fd,stroke:#1565c0 style B fill:#fff3e0,stroke:#ef6c00