When Is Bad News Really Bad News?
研究市场相对水平如何影响股价对坏消息和好消息的反应，发现市场相对水平越高，股价对负面盈利意外的反应越强烈。
We examine whether the price response to bad and good earnings shocks changes as the relative level of the market changes. The study is based on a complete sample of annual earnings announcements during the period 1988 to 1998. The relative level of the market is based on the difference between the current market P/E and the average market P/E over the prior 12 months. We find that the stock price response to negative earnings surprises increases as the relative level of the market rises. Furthermore, the difference between bad news and good news earnings response coefficients rises with the market.