IDEAS home Printed from https://ideas.repec.org/a/bla/jbfnac/v35y2008-09i7-8p795-817.html
   My bibliography  Save this article

Financial Statement Information, the Prediction of Book Return on Owners' Equity and Market Efficiency: The Swedish Case

Author

Listed:
  • Stina Skogsvik

Abstract

Using Swedish data, this study investigates whether financial statement information can be used to predict changes in the medium-term book return on owners' equity and subsequently evaluates the performance of trading strategies based on such predictions. A univariate prediction model based on the past book return has higher prediction accuracy than more elaborate models that include additional accounting numbers. The main trading strategy generates a hedge position return of 29% over a three-year holding period. Interestingly, most of the return is attributable to the long position. However, the results are found to be sensitive to the choice of return metric. Copyright (c) 2008 The Author Journal compilation (c) 2008 Blackwell Publishing Ltd.

Suggested Citation

  • Stina Skogsvik, 2008. "Financial Statement Information, the Prediction of Book Return on Owners' Equity and Market Efficiency: The Swedish Case," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 35(7-8), pages 795-817.
  • Handle: RePEc:bla:jbfnac:v:35:y:2008-09:i:7-8:p:795-817
    as

    Download full text from publisher

    File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1468-5957.2008.02099.x
    File Function: link to full text
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    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. Holthausen, Robert W. & Larcker, David F., 1992. "The prediction of stock returns using financial statement information," Journal of Accounting and Economics, Elsevier, vol. 15(2-3), pages 373-411, August.
    3. Frankel, Richard & Lee, Charles M. C., 1998. "Accounting valuation, market expectation, and cross-sectional stock returns," Journal of Accounting and Economics, Elsevier, vol. 25(3), pages 283-319, June.
    4. Bambang Setiono, 1998. "Predicting Stock Returns Using Financial Statement Information," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 25(5&6), pages 631-657.
    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. Greig, Anthony C., 1992. "Fundamental analysis and subsequent stock returns," Journal of Accounting and Economics, Elsevier, vol. 15(2-3), pages 413-442, August.
    7. Stober, Thomas L., 1992. "Summary financial statement measures and analysts' forecasts of earnings," Journal of Accounting and Economics, Elsevier, vol. 15(2-3), pages 347-372, August.
    8. Edward I. Altman, 1968. "Financial Ratios, Discriminant Analysis And The Prediction Of Corporate Bankruptcy," Journal of Finance, American Finance Association, vol. 23(4), pages 589-609, September.
    9. repec:bla:joares:v:31:y:1993:i:2:p:190-215 is not listed on IDEAS
    10. repec:bla:joares:v:28:y:1990:i:1:p:144-163 is not listed on IDEAS
    11. repec:bla:joares:v:18:y:1980:i:1:p:109-131 is not listed on IDEAS
    12. Greig, A.C., 1992. "Fundamental Analysis and Subsequent Stock Returns," Papers 51, Rochester, Business - Ph.D.,.
    13. repec:bla:joares:v:20:y:1982:i:2:p:639-653 is not listed on IDEAS
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Stina Skogsvik & Kenth Skogsvik, 2010. "Accounting‐Based Probabilistic Prediction of ROE, the Residual Income Valuation Model and the Assessment of Mispricing in the Swedish Stock Market," Abacus, Accounting Foundation, University of Sydney, vol. 46(4), pages 387-418, December.
    2. Mattias Hamberg & Jiri Novak, 2010. "Accounting Conservatism and Transitory Earnings in Value and Growth Strategies," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(5-6), pages 518-537.
    3. Francesco Campanella & Mario Mustilli & Eugenio D¡¯Angelo, 2016. "Efficient Market Hypothesis and Fundamental Analysis: An Empirical Test in the European Securities Market," Review of Economics & Finance, Better Advances Press, Canada, vol. 6, pages 27-42, February.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jbfnac:v:35:y:2008-09:i:7-8:p:795-817. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0306-686X .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.