Detail publikace

On the Importance of Clean Accounting Measures for the Tests of Stock Market Efficiency

Autor: Jiří Novák M.Sc., Ph.D., Deloitte Corporate Chair, Mattias Hamberg
Typ: IES Working Papers
Rok: 2007
Číslo: 25
ISSN / ISBN:
Publikováno v: IES Working Paper
Místo vydání: Prague
Klíčová slova: tržní efektivita, investice, trazitivní zisky, účetní konzervatismus, Švédsko, Skandinávie
JEL kódy: G14
Citace: Hamberg, M., Novak, J. (2007) “On the Importance of Clean Accounting Measures for the Tests of Stock Market Efficiency.” IES Working Paper 25/2007, IES FSV, Charles University, Prague
Granty: Výzkumný záměr IES (2005-2011) Integrace české ekonomiky do Evropské unie a její rozvoj
Abstrakt: Tests of the semi-strong form of the efficient market hypothesis (EMH) typically use earnings and book value of equity as benchmarks of fundamental value. Accounting earnings, however, are contaminated by noise due to their transient component and book value of equity tends to be biased downwards due to accounting conservatism. We investigate whether controlling for these effects impacts on the implications concerning the information efficiency of the Swedish stock market. We conclude that relevant adjustments increase both the magnitude and the consistency of the value premium earned on a contrarian investment strategy that buys (shorts) stocks with low (high) relative market valuation. The existence of the value premium cannot be explained by common risk proxies or transaction costs argument. Using cleaner accounting proxies thus strengthens the evidence on the imperfect efficiency of the Swedish stock market.
Ke stažení: WP 2007/25 Hamberg, Novak

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