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- W2258337460 abstract "This thesis increases our understanding of the book-to-marketratio via a detailed examination of how and when earnings arerealised in relation to firms' capitalisation and of Book-to-market ratios (BMRs) areregressed as a function of changes in market value of equityratios for British industrial companies registered on theLondon Stock Exchange from 1987 to 1996. Data from a priorperiod (1976-1986) is also employed to stabilise for effectsof earnings realisation before the regression period. Theaverage useful-life for the firms in the sampledetermines the time horizon of the analysis. The path ofabnormal earnings over this horizon reflects the pattern ofexpiration of the useful-lives of assets in place.The analysis finds that an accrual measurement effectdominated in BMRs increases over the analysis period and alsothat accrual measurement is more influential in BMRs forfirms with short than with long average useful-life assets.Changes in market value ratios are found to inform aboutfuture earnings up to at least six years, except for highlycapitalisedfirms with long useful-life assets (for which therelationship lasts up to 4 years). The length of theinformative period is found to be inverse to the averageuseful-life of firms' assets. The effect of differencesbetween annual changes in market value of equity ratios onBMRs across time diminishes soon (two years) after theinitial market shock' occurs. Long useful-life assets haveno further effect on BMRs evolution at more distant lags.Contrary to previous research (in the USA), changes in marketvalue of equity ratios (for UK firms) are found to beassociated more with short than with long useful-life assets.Although not specially tested for, this result supports thenotion of short-terminism of which the UK stock market issometimes accused. The apparent short-terministic outlookby investors in UK firms coincides with improvedpredictability of BMRs in the UK compared with the US market.The high coefficients of determination from changes in marketvalue of equity ratios as a function of BMRs, identified inthe study, motivates a further test for a prediction modelwhich is able to predict 29.2% of the variation in book-tomarketvalue of equity ratios 8 years in advance." @default.
- W2258337460 created "2016-06-24" @default.
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- W2258337460 date "2000-01-01" @default.
- W2258337460 modified "2023-09-27" @default.
- W2258337460 title "Book-to-market value of equity ratios and earnings realization" @default.
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