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1
Hällefors, Hans. « On the Relationship Between Accounting Earnings and Stock Returns : Model Development and Empirical Tests Based on Swedish Data ». Licentiate thesis, Handelshögskolan i Stockholm, Institutionen för Redovisning och finansiering, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-2086.
Texte intégral
2
Correia, Rosa Cláudio. « Returns to Education in Germany : An updated assessment of the earnings-education relationship ». Thesis, Jönköping University, IHH, Nationalekonomi, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-53041.
Texte intégralRésumé :
This work aims at answering the following questions: what is the gain in future earnings from spending one more year in schooling? Do all years in education increase one’s wages by the same amount? Will obtaining a diploma positively affect one’s future wage? By running a Mincer equation enhanced with factors such as sector of employment or gender and using the educational attainment of the parents as an instrumental variable on the 2017 wave of the German Socio-economic Panel, I am able to estimate that in Germany, returns to education are around 10%. To circumvent endogeneity and omitted variable bias, 2SLS is favoured against OLS. Despite this, the results are similar to previous literature which employed a simple OLS on a Mincer equation though it is also found that OLS underestimates returns to education by 1.2%. Returns to the school years themselves are estimated to be more or less stable and fluctuate between 6 and 12% with the exception of the 9th year of schooling which is more impactful at 24% and the 14th at zero. Finally, due to the complex nature of the German educational system, it was not possible to ascertain the existence of diploma effects.
3
Kornik, David. « The relationship between annual earnings and share returns on the JSE Securities Exchange ». Master's thesis, University of Cape Town, 2005. http://hdl.handle.net/11427/5626.
Texte intégralRésumé :
Includes bibliographical references (leaves 91-99).This research study investigates whether the relationship between accounting earnings and share returns observed predominantly in New York Stock Exchange (“NYSE”) studies also holds on the modern-day JSE Securities Exchange (“JSE”). Since the JSE is a relatively small stock exchange in comparison to the NYSE, with substantially different characteristics, the nature of the relationship may differ between the two exchanges. The study finds empirical evidence that this relationship between earnings and share returns is the same. As on the NYSE, accounting earnings disclosures in South Africa are found to have significant information content. Evidence is obtained which shows that accounting earnings do capture a significant portion of the information reflected in share returns, although they are not a timely source of information.
4
Saric, Olle, et Pontus Lyngsten. « Investigating Real Earnings Management in the Relationship between Stock Returns and Top Management Stock Ownership ». Thesis, Umeå universitet, Företagsekonomi, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-184320.
Texte intégralRésumé :
In this thesis the relationship between company performance and top management stock ownership in the Swedish market was examined. As well as conducting research on the influence real earnings management has on company performance, and how real earnings management relates to the top management stock ownership. The study was based on a quantitative approach with secondary data that was retrieved from Eikon Refinitiv database, where the data stretched back from 2018-2020. This research found no clear relationship between the main concepts under investigation, that is stock ownership of top management and stock returns. The authors explain this by the sampling method in this research only include companies with share holdings. Furthermore, compared to other studies looking this research considers multiple market capitalizations who may operate differently. Finally, there is a suspicion in the field of research that the relationship between the two is not of a linear nature as such a linear methodology will not find any clear results. In conclusion, this research could be added to the list that does not find a relationship between the above stated variables to the literature which could further be applied to the Swedish market. In terms of real earnings management, a strong negative influence was found on share returns. The authors suggest that this finding can be used as a basis to form investment strategies through monitoring the occurrence of REM to predict when insiders are going to buy and sell. Through pursuing this strategy, it may be possible to create superior return as this study found support for the semi-strong form of market efficiency. Unfortunately, this study found no clear guidance of resolving agency issues. Rather it was concluded that shareholdings in the top management does not resolve agency problems given the occurrence of REM. The management most likely benefit from this through trading the company stock. However, further investigation on the topic should be conducted as it seems that alignment using holdings become more or less effective at certain levels of management share ownership. Furthermore, the notion that American ways of agency alignment may not be appropriate in the Swedish market was considered but no clear conclusion could be made in this research.
5
Pappas, Kostas. « Three essays on earnings management : evidence from the UK ». Thesis, University of Manchester, 2016. https://www.research.manchester.ac.uk/portal/en/theses/three-essays-on-earnings-management-evidence-from-the-uk(65e2706f-8a79-4da9-a7f3-4faffb8d581e).html.
Texte intégralRésumé :
In this thesis, I examine earnings management issues in the UK context. The thesis consists of three essays. The first chapter investigates whether managers base their trade-off decisions among real earnings management, accruals-based earnings management, and classification shifting, on the costs, constraints and timing of each strategy in the UK. The empirical evidence suggests that some, but not all, costs and constraints play a role in managers’ trade-off decisions. Further, contrasting between firms that are most likely to have manipulated earnings and firms that are not likely to have manipulated earnings, I find no difference in the relation of constraints towards all earnings management forms. This indicates that cost and constraints do not capture entirely what they are designed to, in the first place. Finally, I document evidence that is consistent with managers using real and accruals-based earnings management as substitutes but fail to find evidence that classification shifting acts as a substitute. The second essay studies the effect of income smoothing via accruals-based and real earnings management on the relationship between current stock returns, current earnings and future earnings. I measure income smoothing as the contemporaneous correlation between changes in earnings management proxies and pre-managed income. Using a sample of non-financial publicly listed firms in the UK, I show that both accruals-based and real income smoothing measures are associated with significantly positive share price anticipation of earnings. These results are robust to different stock returns specifications, income smoothing measure calculations, abnormal accruals models and accumulation periods of stock returns. In the third and final essay, I investigate the impact of the level of accruals-based and real earnings management on measures of the amount of performance commentary in annual reports for a large sample of UK public firms. I use automated textual analysis to construct disclosure scores based on the amount of performance and causal commentary. The results suggest that firms with higher levels of earnings management have lower levels of disclosure of performance and causal commentary. The presence of bad news for the firm (missed analyst forecast, underperformance or earnings decline) affects the relationship between disclosure and accruals-based earnings management but not the relationship between disclosure and real earnings management.
6
Jinxiang, Peng. « A new dimension to efficient market theory : Studying the relationship between discretionary accrual and stock returns for a better understanding of the EMH ». Thesis, Umeå universitet, Företagsekonomi, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-101843.
Texte intégral
7
CHENG, HSIU-YEN, et 鄭綉燕. « The Relationship of Corporate Governance, Stock Returns and Earnings Management ». Thesis, 2010. http://ndltd.ncl.edu.tw/handle/29516487377463910867.
Texte intégralRésumé :
碩士真理大學
經濟學系財經碩士班
98
This study focuses on a issue about earnings management and uses 208 listed companies from January 1998 to December 2008 on the Taiwan Stock Exchange as a research sample. The Modified Jones Model estimates discretionary accruals on corporate governance to analyze how discretionary accruals influence a decision making and the Panel Data Model is used to analyze the overall sample. The study of corporate governance on different industries have significant differences in earnings management and income smoothing of the cumulative abnormal return stock. The empirical results show: The relationship between board size and discretionary accruals is a significant negative correlation, indicating the larger the board size using discretionary accruals to the smaller magnitude of earnings The relationship between management; manager shareholding ratio and the leverage is significantly positively correlated, showing manager shareholding ratio and leverage of the higher risk of their use of company projects accruals earnings management is negatively correlated with; The relationship between board Independence and primary shareholder is no significant; The relationship between income smoothing and the cumulative abnormal stock returns is significantly positive .
8
Huang, Po-Sung, et 黃柏松. « An Empirical Investigation of Nonlinear Relationship between Earnings and Stock Price Returns ». Thesis, 2002. http://ndltd.ncl.edu.tw/handle/55977403422144836737.
Texte intégralRésumé :
碩士國立臺灣大學
會計學研究所
90
The purpose of this study is to explore the nonlinear relationship between earnings and stock price returns. Previous studies often consider relation between earnings and stock price returns to be linear; however, this hypothesis may bias estimated coefficients and lower the explanatory power of earnings. As a result, this study makes efforts to reinvestigate whether linear or nonlinear relationship between earnings and stock price returns is appropriate. The sample consists of firms traded in the Taiwan Stock Exchange between the second season of 1999 and the third season of 2001. The relation between earnings and stock price returns is studied under linear regression model and nonlinear regression model separately. The findings are as follows: 1. The functional relation between earnings and stock price returns is S-shaped. However, as the absolute value of unexpected earnings gets smaller, the S-shape becomes less significant. 2. The S-shaped model is more appropriate for the companies of small size than the large ones. 3. After controlling persistence, predictability, risk, and growth opportunity, S-shape effect is still most influential in earnings response coefficient but is not significant statistically.
9
Chu, Wang-Hua, et 朱婉華. « The Relationship between Prospect Information, Abnormal Returns, Earnings Persistence, and Management Forecast Reliability ». Thesis, 2011. http://ndltd.ncl.edu.tw/handle/72922873475395344337.
Texte intégralRésumé :
碩士國立臺灣大學
會計學研究所
99
For market participants, annual reports are important information source for valuation of firms. As a result, the reliability and relevance of annual reports have always been popular research issues. Annual reports contain both numeric and narrative information. The numeric information mostly presents past performance and is certainly an important basis for valuation. However, the prospect of future performance of a firm may be even more relevant with valuation. The prospect information is usually presented in narratives. This study attempts to investigate: (1) whether the prospect narrative information contained in president’s letters affects capital market; (2) whether numeric financial performance of a firm influences the credibility of its narrative prospect information, and (3) the relationships between earnings persistence and the consistency between numeric financial performance and prospect information. Applying content analysis, this study analyzes president’s letters contained in the 2007 annual reports of the 647 Taiwanese public companies. Narrative prospect information is classified into positive/negative economic environment prospect, industry prospect, or individual firm prospect. The empirical results are as follows. Firstly, the cumulative abnormal returns around earnings announcement are not affected by positive or negative prospect information. Secondly, the credibility of negative prospect information is significantly higher than that of positive prospect information, which is consistent with Incomplete Revelation Hypothesis. However, the credibility of positive/negative prospect information is not related to financial performance, which is inconsistent with Management Obfuscation Hypothesis. Lastly, if a firm has financial operating results consistent with the positive/negative messages, it has better earnings persistence.
10
CHEN, WEI-HSIN, et 陳威信. « Relationship between Unsystematic Earnings and Expected Stock Returns of Listed Companies in Taiwan ». Thesis, 2009. http://ndltd.ncl.edu.tw/handle/07523941350219950679.
Texte intégralRésumé :
碩士逢甲大學
財務金融學所
97
This thesis provides an analysis of the predictability of stock returns using market-, and firm-level earnings. Then we compare earnings and dividends which act for the expected future cash flow proxy contains more information. The tests in these issues using a sample of 713 firms listed in Taiwan Stock Exchange（TWSE） cover the period from 1996:Q1 to 2008:Q3, and all variables are formed on a quarterly basis. We find that firm-level earnings can forecast the one-quarter-ahead excess stock returns, and firm-level earnings contain information about expected future cash flows beyond dividends. These results are robust after controlling for book-to-market ratio, size, market returns, price momentum, and post-earnings announcement drift. Only the unsystematic portion of earnings is correlated with future stock returns, while the variability in systematic earnings is unrelated to expected returns. These results indicate that when firm-level earnings are aggregated to generate the market-level earnings, the information content of firm-level earnings about future cash flows diversifies away. Hence, aggregate-level earnings do not have any explanatory power for excess market returns.
11
Hsu, Hsin-Hua, et 徐新花. « Relationship between Incremental Subsidiary Earnings and Stock Returns for Taiwan’s Publicly Listed Companies ». Thesis, 2004. http://ndltd.ncl.edu.tw/handle/7e4v3h.
Texte intégralRésumé :
碩士中原大學
會計研究所
92
Abstract This study explores the relationship between incremental subsidiary earnings and future rate of returns on stocks in Taiwan. By using the financial information from consolidated financial statements of the subsidiary company and that of the principal company, this work analyzes the relationship between the retained earnings and the stock price. The results are summarized as follows： I. The findings indicate that the financial statements of parent-only company and subsidiary company earnings in Taiwan. The parent-only company earnings can provide more available information on forecasting next period’s earnings of the consolidated financial statements than that of the subsidiary company. This result suggests that the financial data of parent-only company is more useful than that of the consolidated companies. II. The result shows that the security prices ddi not fully reflect the change of incremental subsidiary company earnings in the current period, and incremental subsidiary company’s earnings are superior to parent-only company’s earnings in forecasting security price for next year. This result confirms that the information provided by the financial statement of the parent and subsidiary companies are better than those of the parent-only companies. III. The result also demonstrates that the subsidiary company’s incremental earnings of the current year does not have significant impacts on the stock price of the same company for next two and three years. IV. The perfect-hedged portfolio was constructed on the basis of the incremental earnings of the subsidiary company. The average annual abnormal rate of return on this perfect-hedged portfolio is 2.99% for next year, which confirms the assumption that the average abnormal rate of return of the subsidiary company’s incremental earnings was underestimated by the stock market. This study also finds that the average abnormal rate or returns on the perfect-hedged portfolio for the next two and three years are not significantly different from zero, which confirms the fact that abnormal rate of return in current year does not have any impact on the same company for the periods over next year. In summary, this findings confirm that the stock market is mispriced. This study suggests that there is a one year lag of reported changes between stock price and the incremental earnings of the subsidiary company. However, the incremental earnings in current year will not have any impact on the stock prices for the years htereafter.
12
Chang, Hua-Chen, et 張華真. « The Relationship between Analysts’ Historical Bias of Earnings Forecasts and Cumulative Abnormal Returns ». Thesis, 2016. http://ndltd.ncl.edu.tw/handle/43656075262008167771.
Texte intégralRésumé :
碩士國立臺灣科技大學
財務金融研究所
104
For companies and investors, analysts’ earnings forecasts are a key issue. During forecast periods, analysts will overestimate or underestimate earnings. When the actual earnings are announced, there will be discrepancies between forecasts and actuals, which are called standardized unexpected earnings (SUE). The delayed effect of SUE may cause post-earnings announcement drifts (PEAD), and will result in positive or negative cumulative abnormal returns (CAR). This research studies the relationship between forecast bias and SUE in order to use forecast bias to estimate SUE. Furthermore, this research also studies if there are any associations between forecast bias trends and CAR in the United States of America. If so, forecast bias could be used to estimate CAR and stocks’ trends after earnings announcements. The sample periods of quarterly earnings forecasts are between January 2010 and December 2015. One of the results of this study shows that during forecast periods, forecast bias data and the median of forecast bias per week, fluctuate in quarterly periodical trends. In general, the median of forecast bias shows a walk-down trend which is consistent with the “sobering up” phenomenon. Furthermore, at the beginning of forecast periods, analysts tend to be more optimistic than pessimistic. This paper also proves that there is a positive correlation between short terms initial forecasts bias and short terms CAR, while there is a negative correlation between long terms initial forecasts bias and long terms CAR. Therefore, estimating short terms CAR by short terms initial forecasts bias is more proper than estimating them by long terms’.
13
Lin, Sin-Yi, et 林欣怡. « How Do Momentum Strategies Explain Their Dynamic Relationship,Firm’s Excess Returns and Earnings ? » Thesis, 2013. http://ndltd.ncl.edu.tw/handle/37122934473826916909.
Texte intégralRésumé :
碩士國立暨南國際大學
財務金融學系
101
This paper first examines the dynamic relationship among various momentum returns which are not presented in the recent literature yet. The study furthermore investigates whether these momentum returns are concerned with firms’ excess returns and earnings. The central findings are as follows. Price momentum, moving average ratio and residual momentum are hightly correlative. Besides, stock price related momentum strategy like price momentum or residual momentum is a leading indicator of earningsbased momentum strategy such as earnings and revenue momentum. On the other hand, in Fama- French model, industry momentum remains dominance in extreme portfolios of 25 size-BM groups. Moreover, industry strategy dominates the others in predicting firm’s returns and earnings in Fama- MacBeth model. In all, industry momentum strategy seems to be a better predictive indicator.
14
張榮泰. « The relationship between price-earnings ratios and abnormal rate of returns for the Taiwan stock exchange ». Thesis, 1990. http://ndltd.ncl.edu.tw/handle/98239134702075284579.
Texte intégral
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Kolář, Michal. « Relationship between Stock Returns and Net Income : Evidence from U.S. Market ». Master's thesis, 2017. http://www.nusl.cz/ntk/nusl-357782.
Texte intégralRésumé :
It is important to know if earnings variables influence stock returns. This is important not just for investors who want to know what drives stock returns, but also for the overall economy as stock returns and stock markets are also considered to be significant indicators of its performance. Many studies were conducted in the past but with inconclusive results. The aim of the thesis is to examine the relationship between net income and stock returns using two approaches, namely panel data model and multiple linear regression. We utilize a dataset of companies selected from the S&P500 Index. We also analyse possible heterogeneity in cross section and time. Moreover, we incorporate additional factors which have been proven to have significant explanation power for stock returns. Our findings from the panel data estimation suggest that there is no relationship between scaled net income and stock returns. We find there are random effects present between the companies and three structural breaks in time. Furthermore, we explore the significance of the consumer sentiment index and the percentage change in the book value per share variables in the panel estimation. We do not confirm the debt to equity ratio and the GDP growth news factors in the panel estimation as significant. Results concerning the...
16
CHEN, YI-RU, et 陳怡如. « Explore the Relationship between Firms Characteristics, Earnings Management and Cumulative Abnormal Returns for the Public Employees Pension Fund Investment ». Thesis, 2014. http://ndltd.ncl.edu.tw/handle/zxjjr9.
Texte intégralRésumé :
碩士國防大學
財務管理學系
102
Corporate earnings management may be based on capital market incentives, debt contracting incentives, contracts reward incentives and other reasons. Outside investors and creditors are comparatively weaker than managers in the aspect of receiving information.This research analyzed the relations between abnormal returns and characteristics of listed and OTC companies in Taiwan under earnings management, providing investors a more comprehensive reference information on investment options, in order to prevent investors from being misguided by earnings management financial figures and arriving at wrong valuation of a company. The conclusion of this study provides a method for selecting robust investment targets and avhieving the benefits of the Public Employees Pension Fund Investment’s self-administered investment.
17
Deng, Wen-Shu, et 鄧文述. « On the relationship between expected cash flows and stock returns – an analysis of Taiwan stocks using analysts' earnings forecasts ». Thesis, 2014. http://ndltd.ncl.edu.tw/handle/sd4z5j.
Texte intégralRésumé :
碩士國立交通大學
管理學院財務金融學程
102
Literature claims that the market revisions for expected future cash flows and expected discount rate dominate the stock price movements. Intuitively, the main impact of the stock price should be the company's future earnings expectations, that is, expected cash flows. However, some studies have shown that the expected discount rate dominate stock returns. That is, the risk affect share price more than expected profit does. Some scholars have questioned the results _ obtained from using predictive regression. In this study, the method to explore the factors of the stock price movement is different from the past predictive regression method. We use the implied cost of capital (ICC) approach accompanied by analysts' earnings forecasts, to split stock return into components affected by cash flows and discount rate. The hypothesis of this study is that the main factor drives the price changes is the cash flow expectation. This study uses the earnings forecasts of analysts' reports from 2006 to 2011. I find that the market revisions for expected cash flows dominate the stock price movements, and the longer the investment horizon, the greater correlation of the return volatility. For horizons beyond one year, cash flow news is a more important factor of stock returns than is discount rate news. This findings suggest that, in the long run, market concerns the fundamental of businesses when evaluating their performance.
18
Tsai, Li-suin, et 蔡立勳. « The Impact of Weekend and Holiday Earnings Announcements on the Relationship between Media Coverage and Cumulative Abnormal Returns of Listed Companies ». Thesis, 2012. http://ndltd.ncl.edu.tw/handle/37427552601861224189.
Texte intégralRésumé :
碩士國立高雄第一科技大學
金融研究所
100
This paper investigates the impact of press releases prior to earnings announcements on the market reaction with the incorporation of a media effect and weekend effect in the emerging Taiwan equity market. The main difference between this paper and previous studies is that the comprehensive Chinese news is collected to capture the exposure of media coverage and the trading or non-trading days on which announcements are made are distinguished to examine the information efficiency. The information content of press releases is extracted by referring to Vega (2006) and the proxy of media coverage is constructed which represents the extent to which a particular firm is mentioned in the news. The sentiment ratio displays the net optimism of news releases and text mining is applied in the process. The weekend effect is considered by identifying the earnings announcement date as the dummy variable to explore the influence for the investors. The empirical results show that there is a significant relationship between media coverage and cumulative abnormal returns during earnings announcement. We find that investors may have asymmetric reactions to the news released on different days of the week prior to the earnings announcement. The cumulative abnormal return after earnings announcement releasing on weekends is relatively low compared to that for the other trading days and the explanatory power of media coverage in relation to the cumulative abnormal return decreases, which indicates that investors are distracted on weekends.
19
Chang, Po-Ya, et 張博雅. « An Empirical Study on the relationship between Firm Size, Price-to-Earnings Ratio, Price-to-Book Ratio, Price Sales Ratio and Taiwan stock returns ». Thesis, 2017. http://ndltd.ncl.edu.tw/handle/49424594190978024695.
Texte intégralRésumé :
碩士崑山科技大學
國際商務與金融研究所
105
This study examines the relationship between the firm size, price-to-earnings ratio, price-to-book ratio, price-to-sales ratio and stock returns in Taiwan market. The main results are as follows: 1. In single-variable investment portfolio, the stock return of the electronic technology stock is the highest in top 20% firm size. The stock return of firm size between 80%-100% is the lowest. In addition, the average returns of stocks of portfolio of top 20% price-to-earnings ratio, top 20% price-to-book ratio and top 20% price-to-sales ratio are the highest. 2. In two-variable investment portfolio, it is found that the stock return of the top 20% firm size and top 20%price-to-earnings ratio portfolio is positive and the highest. The average return of the firm size between 80%-100% and the price-to-earnings ratio between 80%-100% portfolio is underperforming. In addition, the average return of top 20% firm size and top 20% price-to-book ratio portfolio is positive and the highest. The average returns of firm size between 80%-100% and the price-to-book ratio between 80%-100% portfolio is underperforming. Also, the average return of top 20% firm size and top 20% price sales ratio portfolio is positive and the highest. The average return of firm size between 80%-100% and top 20% price sales ratio portfolio is underperforming. In sum, in one-variable investment portfolio, the bigger the firm size, price-to-earnings ratio, price-to-book ratio and price sales ratio, the higher the average return. On the other hand, in two-variable investment portfolio, the bigger the firm size & price-to-earnings ratio, firm size & price-to-book ratio, and firm size & price sales ratio, the higher the average return.
20
Hung, Li-chun, et 洪禮君. « The Relationships between Aggregate Earnings and Stock Returns : The Taiwan Evidence ». Thesis, 2000. http://ndltd.ncl.edu.tw/handle/97162650431211508191.
Texte intégralRésumé :
碩士國立交通大學
經營管理研究所
89
The relationships between stock returns and the accounting earnings have been studied intensively. The relationships between earnings and returns during a time period and the application of financial statement analysis in the prediction of stock returns are most popular ones among various approaches. Although such topics are so popular, the time period of calculated stock returns and accounting earnings are all short-term time interval (from one year, several months to one day). Even though the issues underlying the annual and shorter return interval studies differs, the results of both forms of empirical analysis have been similarly disappointed in the sense of unimpressive correlations between returns and earnings. There is always low R2 under the return-earning regression analysis. In other words, the empirical findings suggest that earnings have low explanatory power to returns. Under the assumption of earnings as a natural variable for explaining stock earnings, the paper expand the interval over which earnings and returns are determined to minimize the effects of the asymmetry information contents between returns and earnings (errors in earnings and imperfect earnings) which leads to low explanatory power of earnings. This paper aggregates the annual earning during different period to get the long term earnings. The relationships between long term aggregate earnings and stock returns are compared with that for the short term interval. The empirical findings support the hypothesis that long term interval eliminate the effects of the asymmetry information content.
21
Chang-MingChen et 陳昶銘. « The Relationships between The Earnings Management and Abnormal Returns of IPOs in Taiwan ». Thesis, 2011. http://ndltd.ncl.edu.tw/handle/29199117707149811951.
Texte intégral
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Hon, Ming-Wei, et 洪銘為. « The relationships between earnings and stock returns in different industries over different time intervals ». Thesis, 1997. http://ndltd.ncl.edu.tw/handle/56239882166657195327.
Texte intégralRésumé :
碩士國立交通大學
管理科學研究所
85
The purpose of this study is to reach the following objectives:1. Use the non-parametric statistical method to test the cross-section relationships between earnings and stock returns in different industries. And make a comparation between the result of this study and the result of previous research.2. Test the earning-return relationships when the length of time interval over which earnings and returns are accumulated is longer, and investigate whether the explanatory power of earnng for stock return is higher.The sample collected in this study consists of 133 companies (1991-1995 ) meeting the sample- selecting criteria .This study uses parametric and nonparametric univarate regression methods to test the relationship between business earning and stock return over different length of time interval(one year to five years).The empirical results are as follows:1. From the cross section data analysis, the relationship between earning and stock return is very weak and unstable in each industry.2. When the length of time interval is longer, the earning-return relationships are more stable in most industries, just like food, plastic, textile, electrical machinery, electric appliances , wire, rubber and electronics industries.3. The explanatory power of earnings for stock returns doesn''t in-crease obviously as the length of time interval increase.
23
« The cross-sectional relationship between the fundamental variables and returns of Hang Seng Index constituent stocks of Hong Kong stock market ». Chinese University of Hong Kong, 1996. http://library.cuhk.edu.hk/record=b5888684.
Texte intégralRésumé :
by Ho Man Shing, William.Thesis (M.B.A.)--Chinese University of Hong Kong, 1996.
Includes bibliographical references (leaves 41-42).
ABSTRACT --- p.i
TABLE OF CONTENTS --- p.iii
LIST OF FIGURE --- p.v
LIST OF TABLES --- p.v
Chapter
Chapter I. --- INTRODUCTION --- p.1
Objectives of Research Project --- p.2
Chapter II. --- LITERATURE REVIEW --- p.4
Research work in the U. S --- p.4
Research work in Japan and H. K --- p.5
Chapter III. --- METHODOLOGY --- p.7
Research design --- p.9
Formation of portfolios --- p.10
Univariate Analysis --- p.11
Regression Analysis --- p.11
Data collection --- p.12
Chapter IV. --- RESULTS --- p.13
Univariate analysis of returns and fundamental variables --- p.13
Regression analysis of returns and fimdamental variables --- p.17
Security level regression analysis of returns and fimdamental variables --- p.17
Portfolio level regression analysis of returns and fundamental variables (ranked by different fundamental variables) --- p.21
Portfolio level regression analysis of returns and fundamental variables (ranked by two different fundamental variables) --- p.27
Effects of order of agglomeration and different combinations --- p.30
Chapter V. --- SUMMARY AND CONCLUDING REMARKS --- p.37
BIBLIOGRAPHY --- p.41
APPENDICES
Chapter A --- List of Hang Seng Index Constituent Stocks during 1989 to1994
Chapter B --- Print-out of the Regression Results at Security Level
Chapter C --- Print-out of the Regression Results at Portfolio Level (E/P then LS)
Chapter D --- Print-out of the Regression Results at Portfolio Level (LS then E/P)