Stock market trading strategies based on earnings and cash flows in Finland: Alternative risk-adjusting approach

Scandinavian Journal of Management

Volumn 16, Issue 1, 2000, Pages 85-99

  Kallunki, Juha Pekka ^a  

^a UNIVERSITY OF OULU   (Finland)

Author keywords

Accounting information; Stock market anomalies; Systematic risks

Indexed keywords

EID: 0034148217     PISSN: 09565221     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0956-5221(98)00035-9     Document Type: Article

References (44)

1. Anthony, J. H., & Ramesh, K. (1992). Association between accounting performance measures and stock prices. Journal of Accounting and Economics, 15, 203-227.
2. Artto, E. (1978). Money flow analyses. Journal of Business Finance and Accounting, 5(1), 27-37.
3. Ball, R. (1978). Anomalies in relationships between securities' yields and yield-surrogates. Journal of Financial Economics, 6, 103-126.
4. Ball, R. (1992). The earnings-price anomaly. Journal of Accounting and Economics, 15, 319-345.
5. Banz, R. W. (1981). The relationship between return and market value of common stocks. Journal of Financial Economics, 9, 3-18.
6. Basu, S. (1977). Investments performance of common stocks in relation to their price-earnings ratios: A test of the efficient market hypothesis. Journal of Finance, 32, 663-682.
7. Beaver, W. H., & Morse D. (1978). What determines price-earnings ratios? Financial Analysts Journal, 65-76.
8. Berglund, T., Liljeblom, E., & Loflund, A. (1989). Estimating betas on daily data for a small stock market. Journal of Banking and Finance, 13(1), 41-64.
9. Berglund, T., Wahlroos, B., & Grandell, L. (1983). The KOP and UNITAS indexes for the Helsinki Stock Exchange in the light of value weighted index. Finnish Journal of Business Economics, 32(1), 30-41.
10. Booth, G. G., Martikainen, T., Perttunen, J., & Yli-Olli, P. (1994). On the functional form of earnings and stock prices: International evidence and implications for the E/P anomaly. Journal of Business Finance and Accounting, 21(3), 395-408.
11. Bowen, R. M., Burgstahler, D., & Daley, L. A. (1987). The incremental information content of accrual versus cash flows. Accounting Review, 62(4), 723-747.
12. Chan, L. K. C., Hamao, Y., & Lakonishok, J. (1991). Fundamentals and stocks returns in Japan. Journal of Finance, 46(5), 1739-1789.
13. Chan, K. C., & Chen, N. (1991). Structural and return characteristics of small and large firms. Journal of Finance, 46(4), 1467-1483.
14. Chen, A. H., & Kim, E. H. (1979). Theories of corporate debt policy: A synthesis. Journal of Finance, 34(2), 371-384.
15. Chow, G. (1983). Econometrics. New York: Wiley.
16. Chung, K. H. (1989a). The impact of the demand volatility and leverages on the systematic risk of common stocks. Journal of Business Finance and Accounting, 16(3), 343-360.
17. Chung, K. H. (1989b). Debt and risk: A technical note. Journal of Business Finance and Accounting, 16(5), 719-727.
18. Conine, T. E. Jr. (1982). On the theoretical relationship between business risk and systematic risk. Journal of Business Finance and Accounting, 9(2), 199-205.
19. Conine, T. E. Jr. (1983). On the theoretical relationship between systematic risk and price elasticity of demand. Journal of Business Finance and Accounting, 10(2), 173-182.
20. Cook, T., & Rozeff, M. (1984). Size and earnings/price ratio anomalies:One effect or two. Journal of Financial and Quantitative Analysis, 19(4), 449-466.
21. Fama, E. F., & MacBeth, J. (1973). Risk, return and equilibrium: Empirical tests. Journal of Political Economy, 81, 607-636.
22. Fama, E. F., & French, K. R. (1992). The cross-section of expected stock returns. Journal of Finance, 47(2), 427-465.
23. Foster, G. (1986). Financial Statement Analysis. Englewood Cliffs, NJ: Prentice-Hall International.
24. Gahlon, J. M., & Gentry, J. A (1982). On the relationship between systematic risk and the degrees of operating and financial leverage. Financial Management, 11(2), 15-23.
25. Gordon, M. J., & Shapiro, E. (1956). Capital investment analysis: The required rate of profit. Management Science, 3, 102-110.
26. Gordon, M. J. (1959). Dividends, earnings and stock prices. Review of Economics and Statistics, 41, 99-105.
27. Gordon, M. J. (1962). The Investments, Financing and Valuation of Corporation, Homewood.
28. Hamada, R. S. (1972). The effect of the firm's capital structure on the market efficiency. Journal of Finance, 27(2), 435-458.
29. International Accounting Standard Committee (1988). Survey of the Use and Application of International Accounting Standards. London: IASC.
30. Jaffe, J., Keim, D. B., & Westerfield, R. (1989). Earnings, yields, market values, and stock returns. Journal of Finance, 44(1), 135-148.
31. Kasanen, E., Kinnunen, J., & Niskanen, J. (1992). The prediction of international accounting standards profits from financial statements of Finnish firms. Advances in International Accounting, 5, 47-73.
32. Kasanen, E., Kinnunen, J., & Niskanen, J. (1997). Dividend-based earnings management: Empirical evidence form Finland. Journal of Accounting and Economics, 22, 283-312.
33. Kinnunen, J. (1991). The importance of accrual accounting as a determinant of submartingale behaviour in annual income numbers: Empirical evidence from Finland. Journal of Business Finance and Accounting, 18(6), 861-883.
34. Kothari, S. P., Shanken, J., & Sloan, R. G. (1995). Another look at the cross-section of expected stock returns. Journal of Finance, 50(1), 185-224.
35. Lakonishok, J., Shleifer, A., & Vishny, R. W. (1994). Contrarian investment, extrapolation and risk. Journal of Finance, 49(5), 1541-1578.
36. Lev, B. (1974). On the association between operating leverage and risk. Journal of Financial and Quantitative Analysis, 9(4), 627-641.
37. Malkamäki, M. (1993). Essays on conditional pricing of Finnish stocks, Bank of Finland Publications Series B 48.
38. Martikainen, T. (1992). On the maximization of shareholders' wealth: Evidence based on firm-specific financial characteristics. Scandinavian Journal of Management, 8(1), 15-38.
39. Martikainen, T. (1993). Stock returns and classification pattern of firm-specific financial variables: Empirical evidence with Finnish data. Journal of Business Finance and Accounting, 20(4), 539-559.
40. Martikainen, T., & Puttonen, V. (1993). Dynamic linkages between stock returns, accrual earnings and cash flows. A cointegration analysis. Annals of Operations Research, 45, 319-332.
41. Reinganum, M. R. (1981). Misspecification of capital asset pricing: Empirical anomalies based on earnings yields and market values. Journal of Financial Economics, 12, 89-104.
42. Saario, M. (1959). The Expenditure-revenue Theory in Accounting. Otava, Helsinki (in Finnish).
43. Troberg, P. H. (1992). Recent developments in financial reporting in Finland. Advances in International Accounting, 5, 25-45.
44. Yli-Olli, P. (1981). Leverage, the cost of capital and the value of the firm: Empirical evidence on Finnish industrial firms. Finnish Journal of Business Economics. 30(4), 435-446.