مناهج مقترحة لتحسين علاقة العوائد السوقية للأسهم بالأرباح المحاسبية : دراسة تطبيقية على الشركات المساهمة العامة السعودية

Abstract EN

This study aims to examine the returns–earnings relation and to investigate whether earnings– to –price (E/P) ratio can be used to improve the returns–earning relation.

Moreover, the study examines whether stock prices lead earnings in reflecting value–relevant information in the Saudi Financial Market, and aims to determine the number of periods by which prices lead earnings.

Furthermore, the study measures the improvement that can be achieved in the returns–earnings relation by including leading period's returns in the model.

A sample of (87) manufacturing and service companies listed in the Saudi Financial Market during the period (2003- 2012) was used with a total number of (870) observations.

The study used simple as well as multiple regression models where market stock return was the dependent variable and both the level of earnings and the change in earnings were the independent variables.

The results revealed that: (1) The level of earnings and the change in earnings are relevant explanatory variables for stock returns, (2) The level of earnings has more explanatory power in explaining the stock returns than the change in earnings, and including both variables in the model can improve the Adjusted- R2, (3) The (E/P) ratio captures the effects of both transitory and permanent components of earnings and share price anticipation of earnings, (4) The results provide evidence on the improvement in the explanatory power of the model and the earnings response coefficient that can be achieved by conducting the analysis based of E/P ratio, (4) Prices lead earnings by up to three periods in the Saudi Financial Market, (5) The estimated earnings response coefficient and the Adjusted R2 can be improved when leading periods returns are included in the model of the returns–earning relation, finally (6) The results suggest that the returns earnings relation is not contemporaneous, and that leading periods returns are as important as current periods returns.