Regnskabsinformation og "anden information" på det danske aktiemarked

SUMMARY: 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 »inconsistency

group« - i.e. a group of companies where the stock market signal is contrary

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.

Udgivelsesdato: Nov. 2008