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Keywords: Noise in returns
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Journal Articles
The declining association between earnings and returns: Diminishing value relevance of earnings or noisier markets?
Available to Purchase
Journal:
Management Research Review
Management Research Review (2011) 34 (8): 947–960.
Published: 19 July 2011
... responsible for the temporal reduction of R2 in regressions of returns on earnings. Additional analysis shows weak evidence that both the noise in returns and the noise in earnings are responsible for the declining association between earnings and returns in a sub‐period (1970‐1982...
