کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5087083 | 1478202 | 2007 | 26 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: How do accounting variables explain stock price movements? Theory and evidence How do accounting variables explain stock price movements? Theory and evidence](/preview/png/5087083.png)
This paper provides theory and evidence showing how accounting variables explain cross-sectional stock returns. Based on Zhang, G. [2000. Accounting information, capital investment decisions, and equity valuation: theory and empirical implications. Journal of Accounting Research 38, 271-295], who relates equity value to accounting measures of underlying operations, we derive returns as a function of earnings yield, equity capital investment, and changes in profitability, growth opportunities, and discount rates. Empirical results confirm the predicted roles of all identified factors. The model explains about 20% of the cross-sectional return variation, with cash-flow-related factors (as opposed to changes in discount rates) accounting for most of the explanatory power. The properties of the model are robust across various subsamples and periods.
Journal: Journal of Accounting and Economics - Volume 43, Issues 2â3, July 2007, Pages 219-244