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Time-Varying Earnings Persistence and the Delayed Stock Return Reaction to Earnings Announcements

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  • Accepted by Christine Botosan. This paper is based on my dissertation completed at the University of WisconsinMadison. I am grateful to my advisor, Terry Warfield, and thesis committee members, Holly Skaife, John Eichenseher, Mark Kohlbeck, and Jed Frees, for their invaluable guidance and comments. I am also grateful to Christine Botosan for her constructive and detailed guidance. I appreciate the comments provided by two anonymous reviewers. I would like to thank my University of Waterloo colleagues Patricia O’Brien, Alan G. Huang, Khim Kelly, Ken Klassen, Duane Kennedy, Sally Gunz, Ken Vetzal, Alan Webb, Christine Wiedman, Tony Wirjanto, and especially Sati Bandyopadhyay and Ranjini Jha, for their persistent support and insightful comments. I also thank Qiang Cheng, Guohua Jiang, Baohua Xin, and Jieying Zhang for their helpful comments, and Xiaofei Yang for her research assistance. I appreciate the comments of the participants in workshops held at Boston University, New York University, State University of New York at Buffalo, University of Toronto, University of WisconsinMadison, and University of Waterloo. This paper is dedicated to the memory of my father, Guangyu Chen, whose strength in going through tough times in his life has always been my inspiration.

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