Record Details

Accounting Fundamentals and the Variation of Stock Price: Factoring in the Investment Scalability

Gadjah Mada International Journal of Business

View Archive Info
 
 
Field Value
 
Title Accounting Fundamentals and the Variation of Stock Price: Factoring in the Investment Scalability
 
Creator Sumiyana, Sumiyana
Baridwan, Zaki
Sugiri, Slamet
Hartono, Jogiyanto
 
Description This study develops a new return model with respect to accounting fundamentals. The new return model is based on Chen and Zhang (2007). This study takes into account theinvestment scalability information. Specifically, this study splitsthe scale of firm’s operations into short-run and long-runinvestment scalabilities. We document that five accounting fun-damentals explain the variation of annual stock return. Thefactors, comprised book value, earnings yield, short-run andlong-run investment scalabilities, and growth opportunities, co associate positively with stock price. The remaining factor,which is the pure interest rate, is negatively related to annualstock return. This study finds that inducing short-run and long-run investment scalabilities into the model could improve the degree of association. In other words, they have value rel-evance. Finally, this study suggests that basic trading strategieswill improve if investors revert to the accounting fundamentals.Keywords: accounting fundamentals; book value; earnings yield; growth opportuni­ties; short­run and long­run investment scalabilities; trading strategy;value relevance
 
Publisher Master of Management, Faculty of Economics and Business, Universitas Gadjah Mada
 
Date 2010-05-12
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier https://journal.ugm.ac.id/gamaijb/article/view/5508
10.22146/gamaijb.5508
 
Source Gadjah Mada International Journal of Business; Vol 12, No 2 (2010): May - August; 189 - 229
2338-7238
1411-1128
 
Language eng
 
Relation https://journal.ugm.ac.id/gamaijb/article/view/5508/4480