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Association between sotck returns and accounting returns in emerging markets

Abstract : This dissertation on emerging markets is driven by one fundamental question, i.e., is there any association between accounting data and market values in high risk and volatile emerging markets. To this end, two models, residual incomevaluation (R.I.M) and abnormal earnings growth (A.E.G), have been explored in this work.In the first study, a model of type Residual Income Valuation is developed and its implications are empirically tested on sample consisting of American companies, developed countries apart from USA and emerging countries over the period2000-2007. The results show that in most of countries studied, the association between the book value and market value ofequity significantly depends on the stage of growth and the method of financing characterizing the company.The development of a valuation model of type Abnormal Earnings Growth Model ( by Ohlson & Juettner-Nauroth),including modeling of evolution of expected relationship between market value of a share, expected earnings per share in ayear, its rate of growth in short-term and a set of accounting variable composing a synthetic indicator of growth of company,is studied in the second research work of this dissertation. Our results show that (1) expected increase in earnings per shareare significantly associated with stock prices ( especially for developed countries), (2) but, as suggested by our model, the persistence of its effects is limited ( especially for emerging countries), (3) when the dynamics of growth are more complex,inclusion of a synthetic variable can make a significant correction term (4) and finally the implied cost of capital issignificantly higher for emerging countries than for developed countries
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Submitted on : Tuesday, July 19, 2011 - 4:53:24 PM
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  • HAL Id : tel-00609672, version 1



Hafiz Imtiaz Ahmad. Association between sotck returns and accounting returns in emerging markets. Business administration. Université du Droit et de la Santé - Lille II, 2011. English. ⟨NNT : 2011LIL20004⟩. ⟨tel-00609672⟩



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