Title page for ETD etd-07282008-134006

Type of Document Dissertation
Author Kane, Gregory D.
URN etd-07282008-134006
Title Accounting data and stock returns across business-cycle associated valuation change periods
Degree PhD
Department Accounting and Information Systems
Advisory Committee
Advisor Name Title
Brown, Robert M. Committee Chair
Killough, Larry N. Committee Member
McGuirk, Anya M. Committee Member
Richardson, Frederick M. Committee Member
Shome, Dilip K. Committee Member
  • Business cycles
Date of Defense 1992-11-06
Availability restricted
This study examines intertemporal variation in the associations of accounting data with subsequent firm returns. A number of accounting research studies pool data indiscriminately across time and firms. Previous research has disclosed the nature and effects of cross-sectional dependencies in pooled data. On the other hand, intertemporal dependencies associated with real macroeconomic phenomena have not been widely researched.

The objective of this study was to provide evidence as to whether accounting data's associations with subsequent firm returns systematically vary across recession-associated and expansion-associated valuation change periods. Eighty-two accounting ratios were examined for evidence of systematic variation in association across business cycle-associated valuation events. Analyses are conducted, using both simple and multiple regression. Business cycle effects on the predictive accuracy of regression models were also examined.

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