The declining value-relevance of accounting information and non-information-based trading: An empirical analysis

• 成果类型: Article
• 署名作者: Dontoh, A; Radhakrishnan, S; Ronen, J
• 署名单位: New York University; University of Texas System; University of Texas Dallas
• 刊物名称: CONTEMPORARY ACCOUNTING RESEARCH
• ISSN/ISSBN: 0823-9150
• DOI: 10.1506/J6P4-2UYP-HFXY-RBT1
• 发表日期: 2004
• 页码: 795-812
• 关键词: announcements; earnings; volume; price

摘要

Recently, a growing body of literature has suggested that financial statements have lost their value-relevance because of a shift from a traditional capital-intensive economy to a high-technology, service-oriented economy. These conclusions are based on studies that find a temporal decline in the association between stock prices and accounting information (earnings and book values). This paper empirically tests a theoretical prediction arising from the noisy rational expectations equilibrium model that suggests that the decline could be driven by non-information-based (NIB) trading activity, because such trading reduces the ability of stock prices to reflect accounting information. Specifically, Dontoh, Radhakrishnan, and Rotten (2004) show that when NIB trading increases, the R(2)s of a regression of stock price on accounting information declines. Our empirical tests confirm this prediction; that is, the decline in the association between stock prices and accounting information as measured by R(2)s is driven by an increase in NIB trading.