Much effort has been dedicated to the topic of earnings usefulness to investment decisions. The low explanatory power of earnings number on the stock returns urges researchers to further investigate the theoretical an...Much effort has been dedicated to the topic of earnings usefulness to investment decisions. The low explanatory power of earnings number on the stock returns urges researchers to further investigate the theoretical and technical aspects of the model. This paper treats the econometrical issues of the topic. We try to allow heteroscedasticity in the model. In addition, panel data method is used to estimate the model. The outcome is convincing and meaningful, suggesting the adoption of panel data method with heteroscedasticity greatly improves the fitness of the model.展开更多
文摘Much effort has been dedicated to the topic of earnings usefulness to investment decisions. The low explanatory power of earnings number on the stock returns urges researchers to further investigate the theoretical and technical aspects of the model. This paper treats the econometrical issues of the topic. We try to allow heteroscedasticity in the model. In addition, panel data method is used to estimate the model. The outcome is convincing and meaningful, suggesting the adoption of panel data method with heteroscedasticity greatly improves the fitness of the model.
