摘要：This paper analyses the market reaction to earnings innovations under different time-series assumptions for reported earnings and high interest rate conditions. The sample consists of 176 Brazilian listed firms from 1995 to 2013 and the empirical analysis compares different assumptions of earnings persistence. The results show that that different ARIMA assumptions lead to different cross-sectional classifications of firms into high and low earnings persistence and that high levels of interest rates and transitory components in earnings can significantly reduce the forward-looking usefulness of accounting information. Additionally, the results show that market agents react more to earnings that exhibit high time-series persistence and that loworder ARIMA models work at least as well as high-order models in representing the time-series process of earnings in the earnings-returns association. .
其他摘要：This paper analyses the market reaction to earnings innovations under different time-series assumptions for reported earnings and high interest rate conditions. The sample consists of 176 Brazilian listed firms from 1995 to 2013 and the empirical analysis compares different assumptions of earnings persistence. The results show that that different ARIMA assumptions lead to different cross-sectional classifications of firms into high and low earnings persistence and that high levels of interest rates and transitory components in earnings can significantly reduce the forward-looking usefulness of accounting information. Additionally, the results show that market agents react more to earnings that exhibit high time-series persistence and that loworder ARIMA models work at least as well as high-order models in representing the time-series process of earnings in the earnings-returns association. .
