Does Market Respond to Firm's Short-term Earnings' Growth Rate and/or Earnings Change besides the Meet or Beat Expectation Benchmark?

摘要

This paper studies the firm's short-term earnings growth rate and market response to this variable. The finding shows there is no significant difference in the cumulative abnormal return when considering growth rate as benchmark after controlling the meet or beat expectation (MBE) benchmark and market response is mainly to the analysts' forecast. Market also treats firms indifferently in case of earnings-increase or earnings-decrease when they are in the same MBE group, which indicates the implication of naive model in the Ball and Brown (1968) around the earnings announcement date is actually the effect of MBE benchmark.