Forecasting stock returns using accounting data

Rok Povšič (2016) Forecasting stock returns using accounting data. MSc thesis.

Preview

PDF Download (7Mb)

Abstract

Semi-strong form of the Efficient Market Hypothesis states that all public information is reflected in stock prices. According to this theory, publicly available accounting data should not have the ability to predict future relative stock returns. We take annual and quarterly survivorship bias-free accounting data for companies in the United States and Europe and test several value, quality, and statistical modeling strategies. We find that certain strategies utilizing this data do have predictive ability and that simple strategies that invests in companies that are both of quality and undervalued, work best.

Actions (login required)