ABSTRACT

Kallunki, J-P. (1995). Eamings-related anomalies in a thin security market: an accounting-based risk estimation approach. Acta Wasaensia No 48, 134 p.

This thesis investigates the earnings-related anomalies using the information of the real determinants of the systematic risk as a benchmark in measuring abnormal stock returns. The study consists of four essays and the introductory survey. In the first essay, a simulation approach is applied to investigate the specification of different event study methods. The methods found to be properly specified in simulations are applied to investigate stock market responses to the firms' earnings announcements in the second essay. The third paper investigates the ability of accounting-based risk measures to absorb the role of the earnings and cash-flow yield in stock returns over longer periods of time. Finally, the fourth essay studies whether the relation between stock returns and earnings yields is linked to the time-variation in expected returns.

Juha-Pekka Kallunki, Faculty of Accounting and Industrial Management, University of Vaasa, P.0. Box 700, FIN-65101 Vaasa, Finland.

Key words: financial statement analysis, earnings, stock market anomalies, systematic risk