Do accounting information and market environment matter for cross‐asset predictability?

Narongdech Thakerngkiat, Hung T. Nguyen, Nhut H. Nguyen and Nuttawat Visaltanachoti ()

Accounting and Finance, 2021, vol. 61, issue 3, 4389-4434

Abstract: This paper examines whether the differences in accounting information between stocks affect cross‐asset return predictability. We use a comprehensive set of accounting variables and find that abnormal accruals, earnings smoothness, book‐to‐market, firm age, leverage, abnormal capital investment and investment growth, among others, explain the variation in return predictability across pairing stocks. Moreover, our results show that cross‐asset predictability varies over time and is associated with funding liquidity and market sentiment. A simple trading strategy based on our findings yields a higher mean return, lower standard deviation and higher Sharpe ratio compared to a buy‐and‐hold strategy.

Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1111/acfi.12736

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:acctfi:v:61:y:2021:i:3:p:4389-4434

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0810-5391

Access Statistics for this article

Accounting and Finance is currently edited by Robert Faff

More articles in Accounting and Finance from Accounting and Finance Association of Australia and New Zealand Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().