Date of Award

5-31-2016

Document Type

Campus Access Thesis

Degree Name

Master of Business Administration (MBA)

Department

Business Administration

First Advisor

Sangwan Kim

Second Advisor

Yong-Chul Shin

Third Advisor

Atreya Chakraborty

Abstract

Through research on the fundamental analysis signals, I examine the following research question: Does investor learning explain future abnormal stock returns to the fundamental analysis strategy over time after the publication of Abarbanell and Bushee (1998 The Accounting Review)? Using data on NYSE/AMEX firms from 1998 to 2012, I find that abnormal returns to the fundamental signals have disappeared beyond the Abarbanell and Bushee’s publication date, which I attribute to investor learning. To address the possibility that the fundamental signals have lost their exploitable trading information over time, I further examine inter-temporal changes in value relevance and predictive content of the fundamental signals. My results show that the value relevance of the fundamental signals have not diminished, and the fundamental signals have retained their predictive ability over time, suggesting that neither time-series changes in value relevance nor deteriorating ability of fundamental signals to predict future earnings growth can explain my investor learning results.

Comments

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