Inflation accounting disclosures and stock price adjustments: some Canadian results

Article Abstract:

This article tests for an association between security returns and anticipated and unanticipated inflation. Inflation accounting disclosures are used to group securities on the bases of their sensitivity to inflation. Nominal security returns and residual returns are independently regressed on the levels of anticipated and unanticipated inflation using a dummy variable model. Results support previous U.S. findings that investors do not seem to use these accounting disclosures in the selection of securities. The evidence indicates, however, that for firms "less affected" by inflation, there exists an association between residual returns and anticipated inflation. (Reprinted by permission of the publisher.)

Analysis, Canada, Economic aspects, Prices and rates, Forecasts and trends, Securities, Investments, Securities prices, Inflation (Finance), Economic indicators, Disclosure statements (Accounting), Return on investment, Rate of return, Inflation accounting, Inflation (Economics)

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Cross-sectional determinants of New Zealand share market returns

Article Abstract:

We present evidence of the cross-sectional relation between security returns, beta, firm size and book-to-market ratio over the period 1971 to 1993 on the New Zealand sharemarket. Our results suggest that the NZSE-40 market index is not a mean-variance efficient market proxy - the betas calculated with respect to it being of little use for explaining expected returns cross-sectionally. Also, there is a significant positive relation between book-to-market ratio and average return. (Reprinted by permission of the publisher.)

Securities and Commodity Exchanges, Security and commodity exchanges, Securities Exchanges, Exchanges, Earnings per share, Corporate size, New Zealand Stock Exchange

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