La relevancia del valor de los datos contables en el mercado de valores español. un estudio empírico para el período 1986-2003

Abstract

The area of empirical research based on the value relevance of the accounting numbers in relation to the security prices have made a great contribution to the accounting literature based on the Capital Market Research. Beaver (2002) states that the value relevance is the major area of empirical research in the last ten years. Value relevance research examines the association between a security price-based dependent variable and a set of accounting variables. An accounting number is termed value relevant if it is significantly related to the dependent variable, and then if it can reflect the relevant information. A number is relevant if it can influence the investors decisions.<br> The main objective of this thesis is to contrast if the published accounting information has influenced the capital market and if this association has changed during the study period. The study analyses how much the based accounting variables: earnings and book value, have the ability to influence and explain the stock market price; and the study tests if the accounting numbers have lost relevance in the stock market value during the 1986-2003, using Spanish numbers. We have done two empirical researches, whose specifics objectives are:<br> 1. To analyse the relationship between the accounting variables and the stock market price, testing if this relationship has changed during the study time.<br> 2. To test if it exists differences between enterprises and years, which the formation of the stock prices is influenced by other information different from the public and the available accounting information.<br> 3. To analyse if the public and the available accounting numbers are included immediately in the stock prices or with some delay.<br> 4. To analyse if the accounting variables, the income and the book value, are relevant in the sock price formation, contrasting the stock market value with the firm value, using the Feltham and Ohlson (1995) model to estimate the firm value.<br> 5. To analyse if the Spanish accounting numbers have lost relevance in the stock market price. We use four metrics to analyse it.<br> 6. To compare the achieved results with the achieved results of the previous studies, and to contrasts the observed tendency. <br> From the achieved results we highlight the following: Firstly, the accounting information needs two or three years to be incorporated in the stock market price. Secondly, the investors take account of other information, different from the accounting variables, in their investments decisions. The third conclusion is that the market considers other relevant information, different from the accounting variables, during the period 1999 and 2003, and especially during the year 1999.<br> Considering that this study is an initial study, this achieved results and their derived conclusions need to be considered with caution. Therefore we conclude that the accounting numbers have lost relevance in the Spanish Stock Market during the period 1986-2003.