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- Title
Value Relevance of Earnings for Factor Investors.
- Authors
Lalwani, Vaibhav; Chakraborty, Madhumita
- Abstract
Accounting literature boasts a long list of studies on the impact of earnings information on stock prices. Recently, this strand of literature has been given a new twist by exploring the dynamics of earnings-returns relation at the aggregate level. The knowledge about this relationship is particularly useful for investors who hold diversified portfolios. The paper tests if the aggregate earnings-returns relationship is different when stocks are grouped according to different characteristics such as size, value, profitability and investment. The results suggest that the relation between aggregate earnings and stock returns is relatively stronger for large-cap and growth stocks as compared to small-cap and value stocks. These findings are valuable for investors and fund managers who use factor-based strategies to manage their investments.
- Subjects
INVESTORS; RATE of return on stocks; SMALL capitalization stocks; STOCK prices; VALUE investing (Finance); GROWTH stocks
- Publication
IUP Journal of Accounting Research & Audit Practices, 2024, Vol 23, Issue 1, p24
- ISSN
0972-690X
- Publication type
Article