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:: year 16, Issue 61 (2024) ::
fa 2024, 16(61): 59-49 Back to browse issues page
Comparing the Explanatory Power of Stock Returns by Market Information and Accounting Information
Gholamreza Karami * 1, Mohammad Moradi1 , Ali Mahmoudi2
1- Faculty of Accounting and Financial Sciences, College of Management, University of Tehran, Tehran, Iran.
2- Accounting and Auditing Department, Faculty of Accounting and Financial Sciences, College of Management, University of Tehran, Tehran, Iran.
Abstract:   (164 Views)
 This study examines the comparative power of market information and accounting information in explaining stock returns, a critical topic in accounting and finance. Using data from companies listed on the Tehran Stock Exchange from 2007 to 2021, the research evaluates the effectiveness of two valuation models: the CAPM (Capital Asset Pricing Model) based on market information and an accounting-based model using earnings per share and book value per share. Employing statistical tests like Spearman correlation and the Wilcoxon test, the findings reveal that the CAPM model consistently demonstrates a stronger correlation with actual stock returns and lower absolute errors compared to the accounting model. Despite the significance of financial statements, the results suggest that market information provides more accurate and meaningful insights for short-term stock return predictions, highlighting limitations in the usefulness of financial statements for investment decisions. The study underscores the potential need for refining accounting standards and encourages future research to explore additional models and diverse markets for broader validation.

 
Article number: 4
Keywords: Accounting Information, CAPM, Explanation of Stock Returns, Market Information.
Full-Text [PDF 427 kb]   (31 Downloads)    
Type of Study: Research | Subject: Special
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Karami G, Moradi M, Mahmoudi A. Comparing the Explanatory Power of Stock Returns by Market Information and Accounting Information. fa 2024; 16 (61) : 4
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year 16, Issue 61 (2024) Back to browse issues page
فصلنامه حسابداری مالی Quarterly Financial Accounting
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