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Navas, Raúl Daniel

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4513-E416-FC5F
0000-0002-2641-6210

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20171
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Subject: Carteira de títulos - Rentabilidade ×

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  • Accounting fundamentals and volatility in the Euronext 100 index
    Publication . Navas, Raúl Daniel; Gama, Ana Paula Bernardino Matias; Bentes, Sónia Margarida Ricardo
    To determine whether accounting fundamentals can provide relevant information to clarify firm value, this study examines the value relevance of accounting fundamentals in the Euronext 100 index—specifically, whether applying an accounting fundamental strategy to select stocks yields significant, positive excess market buy-and-hold returns after one and two years of portfolio formation. By integrating valuation theory and accounting research, this study introduces a set of accounting fundamental signals (F-score and L-score) that reflect information that can influence security prices, but not necessarily in a timely manner. Annual financial and market data from Euronext 100 index stocks between 2000 and 2014 reveal, after controlling for earnings, book-to-market ratio, and firm size, that the fundamental strategy provides value-relevant information to investors. The relationship between the accounting fundamental signals (i.e., F-score and L-score) and buy-and-hold market future (one- and two-year) returns is significant and positive. That is, portfolios formed on the basis of high scores on the signals achieve a 13% average market excess annual return between 2000 and 2014. In addition to addressing the practical problem of mispriced stocks, this study contributes to scarce accounting research in European capital markets by detailing the “post-earnings” drift phenomenon in a Euronext 100 index. Because under the period of analysis the Euronext 100 index showed strong volatility, further this study also explored asymmetric effects which are fundamental to stock market volatility. Considering their relevance, this study therefore examines the conditional volatility of returns to the Euronext 100, with a particular focus on the asymmetric properties of this market. The analysis entails an estimate of the symmetric GARCH and asymmetric EGARCH and T-GARCH models, using a data set of daily closing prices from the index that spans from December 3, 2000, to December 18, 2015. The findings show that conditional variance is an asymmetric function of past residuals, offering strong evidence of asymmetries in the returns of the Euronext 100.
    2017-03Doctoral thesis Open access Show more