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1、JournalofAccountingandEconomics9(1987)159-193.North-HollandANEVALUATIONOFALTERNATIVEPROXIESFORTHEMARKET’SASSESSMENTOFUNEXPECTEDEARNINGS*LawrenceD.BROWNandRobertL.HAGERMANStateUniversqofNewYork,Buffalo,NY14260,USAPaulA.GRIFFINUnwersityofCalifornia,Davis,CA95616,USAMarkE.ZMIJEWSKIUnwer
2、siryofChicago,Chicago,IL60637,USAReceivedOctober1985,finalversionreceivedApril1987Thisstudyexaminestheassociationbetweenabnormalreturnsandfivealternativeproxiesforthemarketsassessmentofunexpectedquarterlyearnings.Weexaminetherolethatmeasurementerrorpotentiallyhasinmultipleregressiont
3、estsofabnormalreturns(occurringaroundthetimeofearningsannouncements)onanunexpectedearningsproxyandothernon-earningsvariables.Theresultsindicateapotentialmeasurementerrorinterpretationofsuchmultipleregressiontests.Weexaminethreeprocedureswhichreduce,toanunknowndegree,themeasurementerr
4、orproblem.Ourproceduresappeartobemore(less)effectiveatreducingmeasurementerrorforsmall(large)firmsandrecent(non-recent)forecasts.1.IntroductionNumerousstudieshaveshownthatstockmarketpricesrespondtothesignandmagnitudeofearningsthatareunexpectedbythemarket.Thesestudiesuseaproxyforthema
5、rketsassessmentofunexpectedearnings(marketunexpectedearnings)thatisconditionedonaparticularearningsforecast.Iftheunexpectedearningsproxymeasuresthemarketsassessmentwitherror,*TheauthorsacknowledgecommentsonearlierversionsfromworkshopparticipantsattheUniversityofCaliforniaatBerkeley,U
6、niversityofChicago,ColumbiaUniversity,DukeUniver-sity,UniversityofIowa,UniversityofMichigan,NewYorkUniversity,UniversityofNorthCarolinaatChapelHill,NorthwesternUniversity,PurdueUniversity,UniversityofRochester,StateUniversityofNewYorkatBuffalo,andtheUniversityofSouthernCalifornia.Wee
7、xtendspecialthankstoR.CastaniasII,A.Christie,R.Holthausen,W.Landsman,R.Leftwich,T.Lys,P.OBrien,R.Watts,andananonymousreviewerforadviceonvarioustopics.SeeFoster(1986,ch.ll),WattsandZimmerman(1986,ch.3)orBrown(1987,ch.2)forareviewofthisliterature.0165-4101/87/$3.5001987,ElsevierScience
8、PublishersB.
