Scandinavian Working Papers in Economics

Nationaløkonomisk tidsskrift,
Nationaløkonomisk Forening

Regnskabsinformation og »anden information« på det danske aktiemarked

2008, Volume 2008, issue 1, pp. 109-134

Frank Thinggaard (), Peder Fredslund Møller () and Jesper Damkier ()
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Frank Thinggaard: Aalborg Universitet, Postal: Fredrik Bajers Vej 7K, , 9220 Aalborg Ø, , Danmark
Peder Fredslund Møller: Norges Handelshøiskole, Postal: Helleveien 30, 5045 Bergen, Norge
Jesper Damkier: Centre for Analytical Finance, Aarhus School of Business, Postal: Nordre Ringgade 1, 8000 Aarhus, Danmark

Abstract: This paper investigates the extent to which »other information« impounded in share prices in the Danish stock market in the period 1983-2001 has predictive value regarding future accounting realisations. We both analyse the relation between share returns and future accounting realisations within a fiscal year using an approach similar in spirit to the classical study by Ball & Brown (1968) and between fiscal years by comparing the number of reversals in accounting numbers from one year to the next in a »consistency group« – i.e. a group of companies where the stock market signal (good year/bad year) corresponds to the financial statement signal – and in an »in - consistency group« – i.e. a group of companies where the stock market signal is con trary to the financial statement signal. Our results indicate that »other information« in stock prices has predictive value for accounting realisations in the current fiscal year, but not for next year. This moderate time-horizon quality is contrary to previous US results, but supports the conclusion in another analysis of the Danish stock market.

Keywords: Regnskabsinformation; aktiemarkedet

JEL-codes: A10

Language: Danish

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