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How do accounting variables explain stock price movements? Theory and evidence

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  • Chen, Peter
  • Zhang, Guochang
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    Article provided by Elsevier in its journal Journal of Accounting and Economics.

    Volume (Year): 43 (2007)
    Issue (Month): 2-3 (July)
    Pages: 219-244

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    Handle: RePEc:eee:jaecon:v:43:y:2007:i:2-3:p:219-244

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    Web page: http://www.elsevier.com/locate/jae

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    1. Vuong, Quang H, 1989. "Likelihood Ratio Tests for Model Selection and Non-nested Hypotheses," Econometrica, Econometric Society, Econometric Society, vol. 57(2), pages 307-33, March.
    2. Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-65, June.
    3. Myers, Stewart C., 1977. "Determinants of corporate borrowing," Journal of Financial Economics, Elsevier, Elsevier, vol. 5(2), pages 147-175, November.
    4. Fama, Eugene F & French, Kenneth R, 2000. "Forecasting Profitability and Earnings," The Journal of Business, University of Chicago Press, vol. 73(2), pages 161-75, April.
    5. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, Elsevier, vol. 33(1), pages 3-56, February.
    6. Brown, Stephen & Lo, Kin & Lys, Thomas, 1999. "Use of R2 in accounting research: measuring changes in value relevance over the last four decades," Journal of Accounting and Economics, Elsevier, Elsevier, vol. 28(2), pages 83-115, December.
    7. Fama, Eugene F & MacBeth, James D, 1973. "Risk, Return, and Equilibrium: Empirical Tests," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 81(3), pages 607-36, May-June.
    8. Brennan, Michael J & Schwartz, Eduardo S, 1985. "Evaluating Natural Resource Investments," The Journal of Business, University of Chicago Press, vol. 58(2), pages 135-57, April.
    9. Merton H. Miller & Franco Modigliani, 1961. "Dividend Policy, Growth, and the Valuation of Shares," The Journal of Business, University of Chicago Press, vol. 34, pages 411.
    10. Jonathan Berk & Richard C. Green & Vasant Naik, . "Optimal Investment, Growth Options and Security Returns," GSIA Working Papers, Carnegie Mellon University, Tepper School of Business 64, Carnegie Mellon University, Tepper School of Business.
    11. Kothari, S. P., 2001. "Capital markets research in accounting," Journal of Accounting and Economics, Elsevier, Elsevier, vol. 31(1-3), pages 105-231, September.
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    Cited by:
    1. Wisniewski, Tomasz Piotr & Yekini, Liafisu Sina, 2014. "Predicting Stock Market Returns Based on the Content of Annual Report Narrative: A New Anomaly," MPRA Paper 58107, University Library of Munich, Germany.
    2. Chang, Tsangyao & Kang, Shuchen & Chiang, Gengnan, 2010. "Exploring an efficient investment regime: The case of SP100 companies," International Review of Financial Analysis, Elsevier, vol. 19(2), pages 134-139, March.
    3. Chrysovalantis Gaganis & Iftekhar Hasan & Fotios Pasiouras, 2013. "Efficiency and stock returns: evidence from the insurance industry," Journal of Productivity Analysis, Springer, vol. 40(3), pages 429-442, December.
    4. Beyer, Anne & Cohen, Daniel A. & Lys, Thomas Z. & Walther, Beverly R., 2010. "The financial reporting environment: Review of the recent literature," Journal of Accounting and Economics, Elsevier, Elsevier, vol. 50(2-3), pages 296-343, December.
    5. KiHoon Jimmy Hong & Bin Peng & Xiaohui Zhang, 2014. "Capturing the Impact of Latent Industry-Wide Shocks with Dynamic Panel Model," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 347, Quantitative Finance Research Centre, University of Technology, Sydney.

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