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Portfolio performance and accounting measures of earnings: an alternative look at usefulness

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  • Jeong-Bon Kim
  • Roland Lipka
  • Heibatollah Sami

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  • Jeong-Bon Kim & Roland Lipka & Heibatollah Sami, 2012. "Portfolio performance and accounting measures of earnings: an alternative look at usefulness," Review of Quantitative Finance and Accounting, Springer, vol. 38(1), pages 87-107, January.
    • Handle: RePEc:kap:rqfnac:v:38:y:2012:i:1:p:87-107
    DOI: 10.1007/s11156-010-0220-1
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    1. Fama, Eugene F & French, Kenneth R, 1992. "The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-465, June.
    2. Eric Liluan Chu, 1998. "The Investment Strategy of Free Cash Flow Multiple An Application in Taiwan," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 1(03), pages 355-367.
    3. Biddle, Gary C. & Bowen, Robert M. & Wallace, James S., 1997. "Does EVA(R) beat earnings? Evidence on associations with stock returns and firm values," Journal of Accounting and Economics, Elsevier, vol. 24(3), pages 301-336, December.
    4. De Bondt, Werner F M & Thaler, Richard, 1985. "Does the Stock Market Overreact?," Journal of Finance, American Finance Association, vol. 40(3), pages 793-805, July.
    5. Ou, Jane A. & Penman, Stephen H., 1989. "Financial statement analysis and the prediction of stock returns," Journal of Accounting and Economics, Elsevier, vol. 11(4), pages 295-329, November.
    6. Gary C. Biddle & Gim S. Seow & Andrew F. Siegel, 1995. "Relative versus Incremental Information Content," Contemporary Accounting Research, John Wiley & Sons, vol. 12(1), pages 1-23, September.
    7. Jinhan Pae, 2005. "Expected Accrual Models: The Impact of Operating Cash Flows and Reversals of Accruals," Review of Quantitative Finance and Accounting, Springer, vol. 24(1), pages 5-22, January.
    8. Chu, Eric Liluan, 1997. "Impact of Earnings, Dividends and Cash Flows on Stock Returns: Case of Taiwan's Stock Market," Review of Quantitative Finance and Accounting, Springer, vol. 9(2), pages 181-202, September.
    9. Bernard, Vl & Thomas, Jk, 1989. "Post-Earnings-Announcement Drift - Delayed Price Response Or Risk Premium," Journal of Accounting Research, Wiley Blackwell, vol. 27, pages 1-36.
    10. Ball, R & Brown, P, 1968. "Empirical Evaluation Of Accounting Income Numbers," Journal of Accounting Research, Wiley Blackwell, vol. 6(2), pages 159-178.
    11. Francis, J & Schipper, K, 1999. "Have financial statements lost their relevance?," Journal of Accounting Research, Wiley Blackwell, vol. 37(2), pages 319-352.
    12. Dechow, Patricia M. & Hutton, Amy P. & Sloan, Richard G., 1999. "An empirical assessment of the residual income valuation model1," Journal of Accounting and Economics, Elsevier, vol. 26(1-3), pages 1-34, January.
    13. Dechow, Patricia M., 1994. "Accounting earnings and cash flows as measures of firm performance : The role of accounting accruals," Journal of Accounting and Economics, Elsevier, vol. 18(1), pages 3-42, July.
    14. Mark T. Bradshaw & Richard G. Sloan, 2002. "GAAP versus The Street: An Empirical Assessment of Two Alternative Definitions of Earnings," Journal of Accounting Research, Wiley Blackwell, vol. 40(1), pages 41-66, March.
    15. Basu, S, 1977. "Investment Performance of Common Stocks in Relation to Their Price-Earnings Ratios: A Test of the Efficient Market Hypothesis," Journal of Finance, American Finance Association, vol. 32(3), pages 663-682, June.
    16. Rosenberg, Barr & McKibben, Walt, 1973. "The Prediction of Systematic and Specific Risk in Common Stocks," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 8(2), pages 317-333, March.
    17. Jeffrey L. Callen & Dan Segal, 2004. "Do Accruals Drive Firm‐Level Stock Returns? A Variance Decomposition Analysis," Journal of Accounting Research, Wiley Blackwell, vol. 42(3), pages 527-560, June.
    18. Collins, Daniel W. & Maydew, Edward L. & Weiss, Ira S., 1997. "Changes in the value-relevance of earnings and book values over the past forty years," Journal of Accounting and Economics, Elsevier, vol. 24(1), pages 39-67, December.
    19. Jaffe, Jeffrey & Keim, Donald B & Westerfield, Randolph, 1989. " Earnings Yields, Market Values, and Stock Returns," Journal of Finance, American Finance Association, vol. 44(1), pages 135-148, March.
    20. Bhattacharya, Nilabhra & Black, Ervin L. & Christensen, Theodore E. & Larson, Chad R., 2003. "Assessing the relative informativeness and permanence of pro forma earnings and GAAP operating earnings," Journal of Accounting and Economics, Elsevier, vol. 36(1-3), pages 285-319, December.
    21. Jennifer Francis & Katherine Schipper & Linda Vincent, 2003. "The Relative and Incremental Explanatory Power of Earnings and Alternative (to Earnings) Performance Measures for Returns," Contemporary Accounting Research, John Wiley & Sons, vol. 20(1), pages 121-164, March.
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    Cited by:

    1. Eero J. Pätäri & Timo H. Leivo & Janne Hulkkonen & J. V. Samuli Honkapuro, 2018. "Enhancement of value investing strategies based on financial statement variables: the German evidence," Review of Quantitative Finance and Accounting, Springer, vol. 51(3), pages 813-845, October.
    2. Greg Filbeck & Xin Zhao & Ryan Knoll, 2017. "An analysis of working capital efficiency and shareholder return," Review of Quantitative Finance and Accounting, Springer, vol. 48(1), pages 265-288, January.
    3. Helena Isidro & José G. Dias, 2017. "Earnings quality and the heterogeneous relation between earnings and stock returns," Review of Quantitative Finance and Accounting, Springer, vol. 49(4), pages 1143-1165, November.

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    More about this item

    Keywords

    Economic earnings; Cash flows; Working capital; Portfolio performance; G32;
    All these keywords.

    JEL classification:

    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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