文章基本信息

标题：The Relationship between Earnings and Stock Returns: Empirical Evidence from the Greek Capital Market
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作者：Panagiotis E. Dimitropoulos ; Dimitrios Asteriou
期刊名称：International Journal of Economics and Finance
印刷版ISSN：1916-971X
电子版ISSN：1916-9728
出版年度：2009
卷号：1
期号：1
页码：40
DOI：10.5539/ijef.v1n1P40
出版社：Canadian Center of Science and Education
摘要：The relationship between earnings figures and stock returns has been a topic of international research since decades. The purpose of this paper is to investigate the above relationship in the context of the Greek capital market. Previous studies resulted in controversial results regarding the usefulness of models which were using earnings levels or earnings changes as the explanatory variable. In an introductory context, this study examines the earnings-return relation applying four models, proposed by Kothari and Zimmerman (Journal of Accounting and Economics, 20, 155-192, 1995), on individual Greek stocks as well as portfolios between 1994-2004. The overall results, demonstrated a significant value relevancy of accounting earnings prepared under the Greek GAAP. Specifically in the Greek stock market the price model produces less biased ERC’s than the return model but suffers from various econometric problems. Also, the use of cross-sectional and time-series aggregated data results in a large increase in the explanatory power of earnings for returns (for the return and differenced model) yielding more significant Earnings Response Coefficients.