The revision of systematic risk on earnings announcement in the presence of conditional heteroscedasticity

DOI10.1142/9789811202391_0053MaRDI QIDQ5139470zbMATH OpenOpenAlexFDO

Authors Chin-Chen Chien, Cheng-Few Lee

Publication date 9 December 2020

Published in Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/9789811202391_0053

zbMATH Keywords

ARCH (autoregressive conditional heteroscedasticity)CAPMKalman filterpost-earnings-announcement drifts

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial networks (including contagion, systemic risk, regulation) (91G45)

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(1)

• Earnings forecasts and revisions, price momentum, and fundamental data: further explorations of financial anomalies

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