资源描述：
《financial statement analysis and the prediction of stock returns》由会员上传分享，免费在线阅读，更多相关内容在工程资料-天天文库。
1、JournalofAccountingandEconomics11(1989)295-329.North-HollandFINANCIALSTATEMENTANALYSISANDTHEPREDICTIONOFSTOCKRETURNS*JaneA.OUSantaClarauniversity,SantaClara,CA95053,USAStephenH.PENMANUniversi(vofCalifornia,Berkeley,CA94720,USAReceivedJanuary1988,finalversionreceivedApril1989Thispaperperformsafin
2、ancialstatementanalysisthatcombinesalargesetoffinancialstatementitemsintoonesummarymeasurewhichindicatesthedirectionofone-year-aheadearningschanges.Positionsaretakeninstocksonthebasisofthismeasureduringtheperiod1973-1983,whichinvolvecancellinglongandshortpositionswithzeronetinvestment.Thetwo-yea
3、rholding-periodreturntothelongandshortpositionsisintheorderof12.5%.Afteradjustmentfor'sizeeffects'thereturnisabout7.0%.Thesereturnscannotbeexplainedbynominatedfirmriskcharacteristics.1.IntroductionFinancialstatementanalysisidentifiesaspectsoffinancialstatementsthatarerelevanttoinvestmentdecision
4、s.Onegoaloftheanalysisistoassessfirmvaluefromfinancialstatements.Muchempiricalaccountingresearchhasattemptedtodiscovervalue-relevantaccountingattributesinordertoenhancefinancialstatementanalysis.Theapproachtakeninthisworkassumesthatmarketpriceissufficientfordeterminingfirms'valuesandthusservesas
5、abenchmarkagainstwhichtoevaluatetheinformationinaccountingmeasures.Accountingattributesareinferredtobevalue-relevantbecausetheyarecontemporaneouslystatisticallyassociatedwithstockprices.Forexample,theseminalworkofBallandBrown(1968)andthemanysuccessive'informationcontent'papersindicatethataccount
6、ingearningsandsomeofitscomponentscaptureinformationthatiscontainedinstockprices.*WehavebenefitedfrommanyconversationswithJimOhlson.ThecommentsofparticipantsintheStanfordUniversity1987summeraccountingconferenceandworkshopsatBerkeley,theUniversityofChicago,MichiganStateUniversity,andtheUniversityo
7、fTexasatAustinarealsoappreciated.Inparticular,RayBall,DanCollins,GeorgeFoster,PremJain,LaurentiusMarais,MaureenMcNichols,RichardSansing,KatherineSchipper,PeterWilson,RossWatts,MarkWolfson,andRobertHolthausen(thereferee)provi
