Earnings Volatility And Prediction Of Stock Return: The Case Of India
Published: 2010
Author(s) Name: P K MISHRA
Locked
Subscribed
Available for All
Abstract
This paper studies the effect of short-term and long-term earnings volatilities on stock returns in India.
It has been claimed that the short-term and long-term earnings volatilities can generate information for
the prediction of stock returns. Using the data on 50 listed companies in National Stock Exchange for
the period 2003-2008, this paper makes the panel data analysis. The results show that the short-term
and long-term earnings volatilities generate relevant information to predict stock return. Wald test
indicates that there is no difference between the information content of short-term and long-term earnings volatilities.
Keywords: Stock Return, Earning Volatility, India, Panel Data Analysis
View PDF