Detail publikace

Accounting Conservatism and Transitory Earnings in Value and Growth Strategies

Autor: Jiří Novák M.Sc., Ph.D., Deloitte Corporate Chair, Hamberg, Mattias
Typ: Články v impaktovaných časopisech
Rok: 2010
Číslo: 37
ISSN / ISBN: 0306-686X
Publikováno v: Journal of Business Finance and Accounting
Místo vydání: United Kingdom
Klíčová slova: market efficiency, value strategy, growth strategy, earnings-to-price, book-to-market, transitory earnings, accounting conservatism
JEL kódy: G14
Citace:
Granty: 402/09/P154 Měření finančního rizika pro hodnocení efektivity kapitálových trhů Výzkumný záměr IES (2005-2011) Integrace české ekonomiky do Evropské unie a její rozvoj
Abstrakt: The value premium earned on value and growth investment strategies increases after adjusting for transitory earnings and for the accounting conservatism bias in the book value of equity. Simple investment strategies based on earnings-to-price (E/P) and book-to-market (B/M) performed on the Swedish stock market between 1980 and 2004 generate an annual value premium of 11 to 14 percent. Adjustments for transitory earnings and for the conservatism bias increase the value premium by 2 to 4 percentage points, and at the same time they improve the consistency of earning it. These results suggest that transitory earnings and accounting conservatism introduce noise into E/P and B/M measures. Adjusting for these accounting characteristics makes the identification based on E/P and B/M more effective.

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