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Investigating the relationship between market values and accounting numbers for 30 selected Australian listed companies

Clout, Victoria Jane (2007) Investigating the relationship between market values and accounting numbers for 30 selected Australian listed companies. PhD thesis, Queensland University of Technology.

Abstract

In capital market research (CMR) studies of the value relevance of accounting numbers are founded upon the concept that, in equilibrium, the book values are equal to or have some long-term relationship with the market value and that market returns are related to book returns.

This thesis seeks to resolve a gap in the CMR by examining 30 selected individual firms listed on the Australian stock market during the period 1950 to 2004, using equilibrium correction modelling techniques. Even these limited prior works used cross-sectional techniques rather than the long-run, time-series, analysis used in this study. Moreover, dynamic analysis in the CMR has tended to focus on indexes or portfolio data rather than using firm-specific case study data of the type modelled here. No prior research has taken this approach using Australian data.

The results of this thesis indicated that an equilibrium correction relationship between market values and book values for firms listed on the Australian Stock Exchange (ASX) could be determined by using accounting and macroeconomic regressors. The findings of the thesis were consistent with the literature in terms of the variables suggested and important in the firm's valuation from the three main approaches, the analysts (industry) approach, the finance and accounting theory (textbook) approach and the CMR literature approach. The earnings, dividends and book value variables are significant in their relationships with the firm's market values. The models constructed were typically more informative and had an increased forecasting performance compared with the a priori models tested, based on theory and the literature.

Impact and interest:

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ID Code: 16515
Item Type: QUT Thesis (PhD)
Supervisor: Willett, Roger
Keywords: capital market research; value relevance; dynamic modelling equilibrium correction; error correction models; forecasting; sufficiency
Divisions: Current > QUT Faculties and Divisions > QUT Business School
Current > Schools > School of Accountancy
Department: Faculty of Business
Institution: Queensland University of Technology
Copyright Owner: Copyright Victoria Jane Clout
Deposited On: 03 Dec 2008 14:05
Last Modified: 29 Oct 2011 05:49

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