Long‐Term Evidence on the Effect of Aggregate Earnings on Prices
利用1871年以来的数据，研究总盈余信息与股价之间的长期关系，发现总盈余反应系数为负且随时间变化，其构成成分也随时间变化且相对重要性不同。
We examine the time‐series properties and determinants of the relation between aggregate earnings information and stock prices (aggregate earnings response coefficient or AERC) employing return decompositions with data since 1871. We confirm that AERC is negative even though firms respond positively to individual firm earnings information, but we also find that AERC is time varying. Furthermore, we show that AERC components based on expected earnings, cash flows, and discount rates are also time varying and differ in relative importance.