Value Relevance of Financial Reporting on the Warsaw Stock Exchange

Abstract:     
The paper is associated with value relevance research, investigating whether information from financial reports is reflected in the value of listed companies. The study includes annual reports of 440 companies listed on the Warsaw Stock Exchange in Poland in the years from 2000 to 2010. Models describing the relationship between information from financial reports and a measure of stock prices are based, in part, on a factor analysis. Validation of models on the holdout sample confirmed their effectiveness. The results show that the value relevance models may be one of the tools in building investment strategies.

Number of Pages in PDF File: 14

Keywords: value relevance, company valuation, principal component analysis, factor analysis, capital markets, investment strategy, Poland, Eastern Europe

working papers series