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- Publisher Website: 10.1016/j.jacceco.2007.01.001
- Scopus: eid_2-s2.0-34249088688
- WOS: WOS:000247706000003
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Article: How do accounting variables explain stock price movements? Theory and evidence
Title | How do accounting variables explain stock price movements? Theory and evidence |
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Authors | |
Keywords | Profitability (ROE) Earnings yield Stock return Accounting variables Capital investment Growth opportunity |
Issue Date | 2007 |
Citation | Journal of Accounting and Economics, 2007, v. 43, n. 2-3, p. 219-244 How to Cite? |
Abstract | 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. © 2007 Elsevier B.V. All rights reserved. |
Persistent Identifier | http://hdl.handle.net/10722/233778 |
ISSN | 2023 Impact Factor: 5.4 2023 SCImago Journal Rankings: 8.337 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Chen, Peter | - |
dc.contributor.author | Zhang, Guochang | - |
dc.date.accessioned | 2016-09-27T07:21:37Z | - |
dc.date.available | 2016-09-27T07:21:37Z | - |
dc.date.issued | 2007 | - |
dc.identifier.citation | Journal of Accounting and Economics, 2007, v. 43, n. 2-3, p. 219-244 | - |
dc.identifier.issn | 0165-4101 | - |
dc.identifier.uri | http://hdl.handle.net/10722/233778 | - |
dc.description.abstract | 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. © 2007 Elsevier B.V. All rights reserved. | - |
dc.language | eng | - |
dc.relation.ispartof | Journal of Accounting and Economics | - |
dc.subject | Profitability (ROE) | - |
dc.subject | Earnings yield | - |
dc.subject | Stock return | - |
dc.subject | Accounting variables | - |
dc.subject | Capital investment | - |
dc.subject | Growth opportunity | - |
dc.title | How do accounting variables explain stock price movements? Theory and evidence | - |
dc.type | Article | - |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1016/j.jacceco.2007.01.001 | - |
dc.identifier.scopus | eid_2-s2.0-34249088688 | - |
dc.identifier.volume | 43 | - |
dc.identifier.issue | 2-3 | - |
dc.identifier.spage | 219 | - |
dc.identifier.epage | 244 | - |
dc.identifier.isi | WOS:000247706000003 | - |
dc.identifier.issnl | 0165-4101 | - |