Regression analysis

1. Sample description

2. Regression analysis: The association between earnings surprises and stock market reactions “around” the three-day (-1, +1) earnings announcement window

1) Analyst-based earnings surprise (AF_ESUR)

∙ Regression results1

N of observations Coefficient on intercept t-statistic on intercept p-value on intercept
2713 0.005*** 3.50 0.0005
Adjusted R2 Coefficient on AF_ESUR t-statistic on AF_ESUR p-value on AF_ESUR
6.15% 1.375*** 13.37 <.0001

∙ Comments

2) Yearly-changed earnings surprise (YC_ESUR)

∙ Regression results

N of observations Coefficient on intercept t-statistic on intercept p-value on intercept
2713 0.006*** 3.86 0.0001
Adjusted R2 Coefficient on YC_ESUR t-statistic on YC_ESUR p-value on YC_ESUR
0.19% 0.050** 2.46 0.0138

∙ Comments

3) Profit surprise (PROFIT)

∙ Regression results

N of observations Coefficient on intercept t-statistic on intercept p-value on intercept
2713 -0.014*** -3.88 0.0001
Adjusted R2 Coefficient on PROFIT t-statistic on PROFIT p-value on PROFIT
1.32% 0.025** 6.11 <.0001

∙ Comments

4) All earnings surprises (AF_ESUR & YC_ESUR & PROFIT)

∙ Regression results

N of observations Coefficient on intercept t-statistic on intercept p-value on intercept
2713 -0.007* -1.72 0.0860
Adjusted R2 Coefficient on AF_ESUR t-statistic on AF_ESUR p-value on AF_ESUR
6.50% 1.320*** 12.31 <.0001

Coefficient on YC_ESUR t-statistic on YC_ESUR p-value on YC_ESUR

-0.028 -1.36 0.1739

Coefficient on PROFIT t-statistic on PROFIT p-value on PROFIT

0.015*** 3.46 0.0006

∙ Comments

3. Graphical analysis I: The stock return movement “around” the 61-day (-30, +30) earnings announcement window

1) Analyst-based earnings surprise (AF_ESUR)

∙ Figure

∙ Comments

2) Yearly-change earnings surprise (YC_ESUR)

∙ Figure

∙ Comments

3) Profit surprise (PROFIT)

∙ Figure

∙ Comments

4. Graphical analysis II: Frequency distribution of earnings surprise for each interval

1) Analyst-based earnings surprise (AF_ESUR)

∙ Figure

∙ Comments

2) Yearly-change earnings surprise (YC_ESUR)

∙ Figure

∙ Comments

3) Diluted EPS (EPSFXQ)

∙ Figure

∙ Comments

5. Summary and conclusion

1 Note: Report coefficient up to the third digit. Report t-statistic up to the second digit. Copy and paste the p-value reported in SAS output window. If the p-value is below 0.01, 0.05, 0.10, then insert ***, **, *, respectively, for the corresponding reported coefficient.

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