Hostname: page-component-78c5997874-fbnjt Total loading time: 0 Render date: 2024-11-15T16:51:32.480Z Has data issue: false hasContentIssue false
  • English
  • Français

Associations between Alternative Accounting Profitability Measures and Security Returns

Published online by Cambridge University Press:  06 April 2009

Cheng-Few Lee  and
J. Kenton Zumwalt
Get access Rights & Permissions [Opens in a new window]

Extract

The importance of accounting information on security price determination is of interest to both security analysts and accountants. Beaver [3], Downes and Dyckman [6], Gonedes [12], Beaver and Manegold [4], and others have investigated the possible relationships between accounting information and market information. Rosenberg [26] has shown the existence of extra-market components of covariance in security returns while Simkowitz and Logue (S–L) [28] have derived the interdependent structure of security returns. However, none of this research has explicitly investigated how the empirical results can be affected by alternative accounting profitability measures within an industry simultaneously.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 16 , Issue 1 , March 1981 , pp. 71 - 93
Copyright
Copyright © School of Business Administration, University of Washington 1981

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

[1]Ball, R., and Brown, P.. “An Empirical Evaluation of Accounting Income Numbers.” Journal of Accounting Research, Vol. 6 (1968), pp. 159–178.CrossRefGoogle Scholar
[2]Bar-Yosef, Sassom, and Koldony, R.. “Dividend Policy and Capital Market Theory.” Review of Economics and Statistics (05 1976), pp. 181–190.CrossRefGoogle Scholar
[3]Beaver, W. H. “The Behavior of Security Price and Its Implications for Accounting Research (Methods).” Supplement to The Accounting Review (1975), pp. 407–437.Google Scholar
[4]Beaver, W., and Manegold, J.. “The Association between Market-Determined and Accounting-Determined Measures of Systematic Risk: Some Further Evidence.” Journal of Financial and Quantitative Analysis, Vol. 10 (1975), pp. 231–284.CrossRefGoogle Scholar
[5]Cohen, K. J., and Pogue, J. A.. “An Empirical Evaluation of Alternative Portfolio Selection Models.” Journal of Business, Vol. 40 (1967), pp. 166–193.CrossRefGoogle Scholar
[6]D., Downes, and Dyckman, T.. “Efficient Market Research and Accounting Information.” Accounting Review, Vol. 48 (1973), pp. 300–317.Google Scholar
[7]Fama, E. F., and Babiak, H.. “Dividend Policy: An Empirical Analysis.” The Journal of American Statistical Association, Vol. 63 (1968), pp. 1132–1161.CrossRefGoogle Scholar
[8]Farrell, J. L. Jr “Homogeneous Stock Groupings: Implications for Portfolio Management.” Financial Analysts Journal, Vol. 31 (1975), pp. 50–62.CrossRefGoogle Scholar
[9]Francis, J. C. “Analysis of Equity Returns: A Survey with Extension.” Journal of Economics and Business, Vol. 29 (1977), pp. 181–192.Google Scholar
[10]Friedman, M.A Theory of the Consumption Function. Princeton: Princeton University Press (1955).Google Scholar
[11]Gale, B. T. “Market Share and Rate of Return.” Review of Economics and Statistics, Vol. 54 (11 1972).CrossRefGoogle Scholar
[12]Gonedes, N. J. “Evidence on the Information Content of Accounting Numbers: Accounting-Based and Market-Based Estimates of Systematic Risk.” Journal of Financial and Quantitative Analysis, Vol. 8 (1973), pp. 438–443.CrossRefGoogle Scholar
[13]Hurdle, G. J. “Leverage, Risk, Market Structure and Profitability.” The Review of Economics and Statistics, Vol. 56 (1974), pp. 478–485.CrossRefGoogle Scholar
[14]Johnston, J.Econometric Methods, 2nd ed.New York: McGraw-Hill (1972).Google Scholar
[15]King, B. F. “Market and Industry Factors in Stock Price Behavior.” Journal of Business, Vol. 39 (1966), pp. 139–190.CrossRefGoogle Scholar
[16]Klein, L. R., and Nakamura, Mitsugu. “Singularity in the Equation Systems of Econometrics: Some Aspects of the Problem of Multicollinearity.” International Economic Review, Vol. 3 (1962), pp. 274–299.CrossRefGoogle Scholar
[17]Krainer, R. E. “Interest Rates, Leverage, and Investor Rationality.” Journal of Financial and Quantitative Analysis, Vol. 12 (1977), pp. 1–31.CrossRefGoogle Scholar
[18]Lee, C. F., and Lloyd, W. P.. “Block Decursive Systems in Asset Pricing Models: An Extension.” Journal of Finance, Vol. 33 (1978), pp. 640–644.CrossRefGoogle Scholar
[19]Lee, C. F., and Vinso, J. D.. “Simultaneous Equation Market Models: A New Approach to the Problem of Multicollinearity.” Working Paper No. 11–76, White, Rodney L.Center for Financial Research, University of Pennsylvania (1976).Google Scholar
[20]Lee, C. F., and Vinso, J. D.. “The Single vs. Simultaneous Equation Model in Capital Asset Pricing.” Journal of Business Research, Vol. 10 (1980), pp. 65–80.CrossRefGoogle Scholar
[21]Lee, C. F., and Zumwalt, J. K.. “Alternative Specifications and Estimations of the Capital Asset Pricing Process: An Empirical Analysis.” Business and Economic Statistics Section, 1978 American Statistical Association Proceedings (1978), pp. 389–394.Google Scholar
[22]Livingston, M. “Industry Movements of Common Stocks.” Journal of Finance Vol. 32 (1977), pp. 861–874.CrossRefGoogle Scholar
[23]Meyers, S. L. “A Re-examination of Market and Industry Factors in Stock Price Behavior.” Journal of Finance, Vol. 28 (1973), pp. 695–705.Google Scholar
[24]Miller, M. H., and Modigliani, F.. “Some Estimates of the Cost of Capital to the Electric Utility Industry, 1954–57.” American Economic Review, Vol (1966), pp. 333–391.Google Scholar
[25]Nerlove, M. “Further Evidence on the Estimation of Dynamic Economic Relations from a Time Series of Cross Sections.” Econometrica, Vol. 39 (1971) pp. 359–382.CrossRefGoogle Scholar
[26]Rosenberg, B. “Extra-Market Components of Covariance in Security Analysis Journal of Financial and Quantitative Analysis, Vol. 9 (1974), pp. 275–284.CrossRefGoogle Scholar
[27]Sharpe, W. F. “Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risks.” Journal of Finance, Vol. 19 (1964), pp. 425–442.Google Scholar
[28]Simkowitz, M. A., and Logue, D. E.. “The Interdependent Structure of Security Returns.” Journal of Financial and Quantitative Analysis, Vol. 8 (1973), pp. 259–272.CrossRefGoogle Scholar
[29]Theil, H.Principles of Econometrics. New York: John Wiley & Sons, Inc. (1971).Google Scholar
[30]Zellner, A. “An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias.” Journal of the American Statistical Association, Vol. 57 (1962), pp. 348–368.CrossRefGoogle Scholar