publication . Article . 2013

ACCOUNTING FUNDAMENTALS AND VARIATIONS OF STOCK PRICE: METHODOLOGICAL REFINEMENT WITH RECURSIVE SIMULTANEOUS MODEL

Sumiyana, Sumiyana; Baridwan, Zaki;
Open Access English
  • Published: 01 Jan 2013 Journal: Journal of Indonesian Economy and Business (issn: 2338-5847, eissn: 2085-8272, Copyright policy)
  • Publisher: Faculty of Economics and Business, Universitas Gadjah Mada
Abstract
This study investigates association between accounting fundamentals and variations of stock prices using recursive simultaneous equation model. The accounting fundamentals consist of earnings yield, book value, profitability, growth opportunities and discount rate. The prior single relationships model has been investigated by Chen and Zhang (2007), Sumiyana (2011) and Sumiyana et al. (2010). They assume that all accounting fundamentals associate direct-linearly to the stock returns. This study assembles that all accounting fundamentals should associate recursively.This study reconstructs the model and found that only the first two factors could influence stock r...
Subjects
free text keywords: earnings yield, book value, profitability, growth opportunities, discount rate, accounting fundamentals, recursive simultaneous model
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