论文信息 - The information content of security prices : A second look

The information content of security prices : A second look

Abstract Beaver, Lambert and Morse (1980) employ a regression of percentage change in prices on percentage change in earnings in which data are grouped by the dependent variable. Reverse regression offers a more intuitive and direct way to assess the information content of security prices, the objective of Beaver et al. While grouping is asymptotically equivalent, reverse regression is a more efficient way of examining the incremental explanatory power of lagged values of percentage change in price with respect to accounting earnings.

William H. Beaver | Richard A. Lambert | Stephen G. Ryan | W. Beaver

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