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Using Accounting Data to Predict Fir...

Zhu, Wei.

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Using Accounting Data to Predict Firm-level and Aggregate Stock Returns.

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Using Accounting Data to Predict Firm-level and Aggregate Stock Returns./
作者:	Zhu, Wei.
面頁冊數:	141 p.
附註:	Source: Dissertation Abstracts International, Volume: 75-05(E), Section: A.
Contained By:	Dissertation Abstracts International75-05A(E).
標題:	Business Administration, Accounting. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3578482
ISBN:	9781303715709

Using Accounting Data to Predict Firm-level and Aggregate Stock Returns.
Zhu, Wei.

Using Accounting Data to Predict Firm-level and Aggregate Stock Returns. - 141 p.

Source: Dissertation Abstracts International, Volume: 75-05(E), Section: A.

Thesis (Ph.D.)--Yale University, 2013.

This dissertation consists of three essays studying the role of accounting data in predicting distributions of stock returns. In the first essay, I explore the ability of accruals to predict future price (earnings) crashes and jumps, representing extreme negative and positive observations in the distribution of firm-level weekly returns (changes in quarterly ROA). I find that high (low) accruals predict a higher probability of price and earnings crashes (jumps) than medium accruals. In the second essay, I re-examine the ability of asset turnover growth, which reflects growth in both assets and sales, to predict future stock returns. While the prevailing view is that this relation is due to the spread between sales and asset growth, my results suggest it is driven mainly by the asset growth component. I do, however, find that this spread is positively related to future returns for a subsample of firms that did not make significant acquisitions or divestitures. In the third essay, I re-examine the puzzling negative correlation between aggregate stock returns and aggregate earnings at the quarterly level. I find that the negative aggregate returns-earnings correlation is unstable and the negative correlation for the period of 1976-2000 is mainly caused by the negative correlation between aggregate earnings and discount rate news.

ISBN: 9781303715709Subjects--Topical Terms:

1020666
Business Administration, Accounting.

Using Accounting Data to Predict Firm-level and Aggregate Stock Returns.
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500 $a Adviser: Jake Thomas.
502 $a Thesis (Ph.D.)--Yale University, 2013.
520 $a This dissertation consists of three essays studying the role of accounting data in predicting distributions of stock returns. In the first essay, I explore the ability of accruals to predict future price (earnings) crashes and jumps, representing extreme negative and positive observations in the distribution of firm-level weekly returns (changes in quarterly ROA). I find that high (low) accruals predict a higher probability of price and earnings crashes (jumps) than medium accruals. In the second essay, I re-examine the ability of asset turnover growth, which reflects growth in both assets and sales, to predict future stock returns. While the prevailing view is that this relation is due to the spread between sales and asset growth, my results suggest it is driven mainly by the asset growth component. I do, however, find that this spread is positively related to future returns for a subsample of firms that did not make significant acquisitions or divestitures. In the third essay, I re-examine the puzzling negative correlation between aggregate stock returns and aggregate earnings at the quarterly level. I find that the negative aggregate returns-earnings correlation is unstable and the negative correlation for the period of 1976-2000 is mainly caused by the negative correlation between aggregate earnings and discount rate news.
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