ACCOUNTING FUNDAMENTALS AND THE VARIATION OF STOCK PRICE Factoring in the Investment Scalability
This study develops a new return model with respect to accounting fundamentals. The new return model is based on Chen and Zhang (2007). This study takes into account the investment scalability information. Specifically, this study splits the scale of firm�s operations into short-run and long-run inv...
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| Format: | Article |
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[Yogyakarta] : Universitas Gadjah Mada
2010
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| _version_ | 1826033217481736192 |
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| author | Perpustakaan UGM, i-lib |
| author_facet | Perpustakaan UGM, i-lib |
| author_sort | Perpustakaan UGM, i-lib |
| collection | UGM |
| description | This study develops a new return model with respect to
accounting fundamentals. The new return model is based on
Chen and Zhang (2007). This study takes into account the
investment scalability information. Specifically, this study splits
the scale of firm�s operations into short-run and long-run
investment scalabilities. We document that five accounting fundamentals
explain the variation of annual stock return. The
factors, comprised book value, earnings yield, short-run and
long-run investment scalabilities, and growth opportunities, coassociate
positively with stock price. The remaining factor,
which is the pure interest rate, is negatively related to annual
stock return. This study finds that inducing short-run and longrun
investment scalabilities into the model could improve the degree of association. In other words, they have value relevance.
Finally, this study suggests that basic trading strategies
will improve if investors revert to the accounting fundamentals |
| first_indexed | 2024-03-05T23:12:27Z |
| format | Article |
| id | oai:generic.eprints.org:28390 |
| institution | Universiti Gadjah Mada |
| last_indexed | 2024-03-13T19:06:41Z |
| publishDate | 2010 |
| publisher | [Yogyakarta] : Universitas Gadjah Mada |
| record_format | dspace |
| spelling | oai:generic.eprints.org:283902014-06-18T00:23:47Z https://repository.ugm.ac.id/28390/ ACCOUNTING FUNDAMENTALS AND THE VARIATION OF STOCK PRICE Factoring in the Investment Scalability Perpustakaan UGM, i-lib Jurnal i-lib UGM This study develops a new return model with respect to accounting fundamentals. The new return model is based on Chen and Zhang (2007). This study takes into account the investment scalability information. Specifically, this study splits the scale of firm�s operations into short-run and long-run investment scalabilities. We document that five accounting fundamentals explain the variation of annual stock return. The factors, comprised book value, earnings yield, short-run and long-run investment scalabilities, and growth opportunities, coassociate positively with stock price. The remaining factor, which is the pure interest rate, is negatively related to annual stock return. This study finds that inducing short-run and longrun investment scalabilities into the model could improve the degree of association. In other words, they have value relevance. Finally, this study suggests that basic trading strategies will improve if investors revert to the accounting fundamentals [Yogyakarta] : Universitas Gadjah Mada 2010 Article NonPeerReviewed Perpustakaan UGM, i-lib (2010) ACCOUNTING FUNDAMENTALS AND THE VARIATION OF STOCK PRICE Factoring in the Investment Scalability. Jurnal i-lib UGM. http://i-lib.ugm.ac.id/jurnal/download.php?dataId=11453 |
| spellingShingle | Jurnal i-lib UGM Perpustakaan UGM, i-lib ACCOUNTING FUNDAMENTALS AND THE VARIATION OF STOCK PRICE Factoring in the Investment Scalability |
| title | ACCOUNTING FUNDAMENTALS AND THE VARIATION OF STOCK PRICE Factoring in the Investment Scalability |
| title_full | ACCOUNTING FUNDAMENTALS AND THE VARIATION OF STOCK PRICE Factoring in the Investment Scalability |
| title_fullStr | ACCOUNTING FUNDAMENTALS AND THE VARIATION OF STOCK PRICE Factoring in the Investment Scalability |
| title_full_unstemmed | ACCOUNTING FUNDAMENTALS AND THE VARIATION OF STOCK PRICE Factoring in the Investment Scalability |
| title_short | ACCOUNTING FUNDAMENTALS AND THE VARIATION OF STOCK PRICE Factoring in the Investment Scalability |
| title_sort | accounting fundamentals and the variation of stock price factoring in the investment scalability |
| topic | Jurnal i-lib UGM |
| work_keys_str_mv | AT perpustakaanugmilib accountingfundamentalsandthevariationofstockpricefactoringintheinvestmentscalability |