haku: @author Kallunki, J-P. / yhteensä: 10
viite: 5 / 10
| Tekijä: | Kallunki, J-P. |
| Otsikko: | Stock market trading strategies based on earnings and cash flows in Finland: alternative risk-adjusting approach |
| Lehti: | Scandinavian Journal of Management
2000 : MAR, VOL. 16:1, p. 85-99 |
| Asiasana: | Accounting Information Stock markets Risk Finland Scandinavia Europe |
| Vapaa asiasana: | Nordic countries |
| Kieli: | eng |
| Tiivistelmä: | This paper investigates whether the predictability of risk-adjusted stock returns using the ratio of earnings to stock price and the ratio of cash flow earnings to stock price disappears when accounting-based risk measures are used for risk-adjusting purposes. The main contribution of the paper is to extend the approach suggested by Chan and Chen (1991) to other trading strategies and accounting-based risk measures. The paper's empirical results indicate earnings-to-price ratios losing their ability to predict stock returns when a firm's business and financial risks are used to measure the risk of its stock. Results also indicate accounting-based measures' ability to weaken but not totally negating the ability of the cash-flow earnings to stock price ratio to predict the risk-adjusted stock returns. |
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