مقاله انگلیسی How Do Accounting Variables Explain Stock Price Movements?
عنوان پروژه : مقاله انگلیسی با عنوان How Do Accounting Variables Explain Stock Price Movements?
مرتبط با درس : مقالات لاتین حسابداری
تعداد صفحات فایل : ۴۸ صفحه
فرمت فایل : PDF
مرتبط با رشته : حسابداری
مقطع : کاردانی – کارشناسی – کارشناسی ارشد
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How Do Accounting Variables Explain Stock Price Movements?
Theory and Evidence
PETER CHEN
Hong Kong University of Science & Technology
GUOCHANG ZHANG
Hong Kong University of Science & Technology
November 2006
Forthcoming in Journal of Accounting and Economics
Abstract:
This paper provides theory and evidence showing how accounting variables explain cross-sectional stock returns. Based on Zhang (2000), 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. JEL Classification: M41, G12, G14
Keywords: Stock return, Accounting variables, Earnings yield, Profitability (ROE), Capital investment, Growth opportunity
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