Equity Valuation and Accounting Numbers: Applying Zhang (2000) and Zhang and Chen (2007) models to Brazilian Market

Fernando Caio Galdi () and Rodrigo Falco Lopes ()
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Fernando Caio Galdi: Fundação Instituto Capixaba de Pesq. em Contabilidade, Economia e Finanças

Brazilian Review of Finance, 2011, vol. 9, issue 1, 131-157

Abstract: This paper investigates how accounting variables explain cross-sectional stocks returns in Brazilian capital markets. The analysis is based on Zhang (2000) and Zhang and Chen (2007) models. These models predict that stock returns are a function of net income, change in profitability, invested capital, changes in opportunity growths and discount rate. Generally, the empirical results for the Brazilian capital market are consistent with the theoretical relations that models describe, similarly to the results found in the US. Using different empirical tests (pooled regressions, Fama-Macbeth and panel data) the results and coefficients remain similar, what support the robustness of our findings.

Keywords: Stock return; accounting numbers; equity valuation (search for similar items in EconPapers)
JEL-codes: G14 M41 (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:brf:journl:v:9:y:2011:i:1:p:131-157

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