ارتباط بین بازده و سود غیر منتظره: یک تجزیه و تحلیل جهانی با استفاده از نظام های حسابداری

Numerous studies have documented a long-term association between earnings and returns. Surprisingly, few attempts have been made to internationally examine market reactions to earnings releases over return windows less than 12 months. This paper globally explores the market reaction to unexpected earnings defined by both the change in earnings per share (EPS) and analyst forecast errors (AFE) using a 1-month return window. First, the existence of the earnings–returns relationship is examined using a sample of firms from 32 countries grouped into accounting regimes. Accounting regimes represent groups of countries that exhibit similarities in accounting standards, stock market characteristics, corporate governance mechanisms, and economic conditions. Thus, similar reactions to earnings are expected within regimes. Next, the incremental information content of analyst forecasts, a proxy for investors’ earnings expectations, is examined. Finally, changes in the structure of the earnings–returns relationship over time are investigated. Results support the existence of a relationship between earnings and returns in all accounting regimes. In addition, analyst forecast errors appear to be incorporated into earnings expectations in most developed countries. Finally, evidence suggests that the significance and explanatory power in the earnings–returns relationship has increased in recent years.

Assessing the usefulness of financial information has become a primary goal of accounting research. In this study, I use the earnings–returns relationship to examine the usefulness of earnings in an international setting. Specifically, this paper globally examines the monthly market reaction to unexpected earnings defined by both change in earnings per share (CEPS) and analyst forecast errors (AFE). It adds to prior literature in two ways. First, the incremental explanatory power of AFE versus the change in EPS is internationally explored. Given the documented superiority of analyst earnings forecasts over other earnings estimates, efficient investors will likely incorporate analyst forecasts into earnings expectations.1 The degree that analyst forecasts are incorporated into earnings expectations is measured by the strength of the relationship between analyst forecast errors and returns around the earnings announcement. The use of analyst forecasts as proxies for earnings expectations provides some insight into the process investors use in forming earnings expectations. The next contribution of this paper is the international examination of the stability of the earnings–returns relationship over time. Though research in the U.S. has examined changes in the earnings–returns relationship across time to determine if there have been variations in the value relevance of accounting information (e.g., Francis & Schipper, 1999), little international research addresses this issue. This is an interesting issue because there have arguably been greater changes in factors that may impact the earnings–returns relationship outside the U.S. (e.g., quality of accounting information, characteristics of capital markets, access to financial and non-financial information) as compared to the changes that have occurred within the U.S. I extend this research to an international setting to determine if there have been changes in the value-relevance of earnings and the information content of analyst forecast errors.2 The results of analyses using data from the entire time period pooled by accounting regimes reveal a significant market reaction to the announcement of earnings (either AFE or CEPS) in all regimes. This indicates that investors view accounting information as value relevant and react when earnings do not meet expectations. In addition, analyst forecast errors appear to have incremental explanatory power over the change in EPS in most regimes. This suggests that investors around the world act efficiently to incorporate analyst earnings forecasts into earnings expectations. Results of the multi-period analysis reveal a trend toward increased significance of the reaction to the earnings release. This implies that in recent years, investors are more likely to react to the release of earnings. In addition, the results suggest that investors are more likely to incorporate analyst forecasts into earnings estimates in recent years. The results of this study are likely to be of interest to researchers, investors, and educators. The analysis suggests that there has been an increase in the market reaction to the release of earnings. New research aimed at identifying factors which have driven this change would contribute to the literature. Investors can use the understanding of how market earnings expectations are formed to improve investment decisions. The increase in significance of earnings and/or analyst forecasts in recent time periods may be partially caused by improvements in accounting standards. If so, such standards improvements may provide guidance to less developed countries attempting to develop accounting standards. Educators could integrate the results of this paper in upper level or graduate accounting classes.

Using a global sample, I examine international differences in and the stability of the market reaction to the release of earnings. Factors such as variation in accounting standards, corporate governance and capital markets may cause differences in the reaction to the release of earnings. A regression of returns on change in earnings per share and/or analyst forecast errors is used to identify a market response to the release of earnings. A significant market reaction to the announcement of accounting earnings is identified in all regimes when data from the entire research period are used in analysis. This indicates that accounting information is relevant to investors across the world. Additional analysis suggests that analysts forecast errors have incremental explanatory power of change in earnings per share in many regimes, indicating the investors use analysts’ forecasts when forming earnings expectations. The multi-period analysis suggests a greater response to the release of earnings in recent years in many accounting regimes. In the early time period, there is little evidence of a market reaction to the release of earnings. From the early and middle time periods, there is an increase in the significance of the relationship between unexpected earnings and returns. In addition the explanatory power and significance of both the change in EPS and analyst forecast errors have increased over time. The increase in the significance may be the result of improvements in accounting standards or corporate governance mechanisms, changes in capital markets and increased access to information. The results of this study may be of interest to researchers, investors, standard setters and educators. Though the results of this paper suggest an increase in the reaction to the release of earnings, factors influencing this trend are not empirically examined. Therefore, future research in this area is necessary. Another potential research topic is a comparison of daily market response to the release of earnings in a less extensive group of countries. Short-term may better allow for the determination of relative quality of accounting standards. Investors can use the results of this analysis to improve decisions. Specifically, the lack of reaction to forecast errors may be an indication that investors are not incorporating this information into earnings expectations, and thus, the security prices. This may indicate that abnormal returns could be earned based on such information. The results of this study may be of interest to standard setters. Specifically, the increase in significance of earnings and/or analyst forecasts in recent time periods may be partially caused by improvements in accounting standards. If so, such standards improvements may provide guidance to less developed countries attempting to develop accounting standards. This could lead to higher quality accounting standards in such countries. Educators could integrate the results of this paper in upper level or graduate accounting classes. Specifically, this paper could be used to show that the market reaction to earnings varies arcross countries. In addition, it could be used to demonstrate that the market reaction to earnings may not be stable over time. Thus, this could provide a basis for discussing the many factors that can influence the market response to earnings.