MARKET ASSESSMENT OF INDUSTRY AND FIRM EARNINGS INFORMATION

This study examines the timing of security returns associated with ind ustry-wide earnings and firm-specific earnings. We predict and find th at returns associated with differences in performance across industrie s begin and end earlier than returns associated with differences in fi rm-specific performance within industries. To earn abnormal profits, a trading strategy based on forecasts of future earnings would require earlier predictions of industry-wide earnings than of firm-specific ea rnings. (C) 1997 Elsevier Science B.V. All rights reserved.