Title page for ETD etd-07282008-134006
|Type of Document
||Kane, Gregory D.
||Accounting data and stock returns across business-cycle associated valuation change periods
||Accounting and Information Systems
|Brown, Robert M.
|Killough, Larry N.
|McGuirk, Anya M.
|Richardson, Frederick M.
|Shome, Dilip K.
|Date of Defense
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.
|| Approximate Download Time
| 28.8 Modem
|| 56K Modem
|| ISDN (64 Kb)
|| ISDN (128 Kb)
|| Higher-speed Access
next to an author's name indicates that all
files or directories associated with their ETD
are accessible from the Virginia Tech campus network only.
If you have questions or technical
problems, please Contact DLA.