Time-Series Coefficient Variation in Value-Relevance Regressions: A Discussion of Core, Guay, and Van Buskirk and New Evidence

Posted: 5 Nov 2002

See all articles by S.P. Kothari

S.P. Kothari

Massachusetts Institute of Technology (MIT) - Sloan School of Management

Jay A. Shanken

Emory University - Goizueta Business School; National Bureau of Economic Research (NBER)

Date Written: October 2002

Abstract

Many claim that GAAP financial information has become largely irrelevant to explaining valuations. Core et al. compare financial information's value relevance for the New Economy stocks with other stocks. We supplement their analysis with new evidence on the economic determinants of the time-series variation in the coefficients mapping financial information into prices. We document significant variation in the coefficients related to proxies for changing market growth expectations and discount rates and additional variation consistent with time-varying correlated omitted variables. Such findings make it difficult to draw unambiguous inferences about the relevance and reliability of financial information from value-relevance regressions.

Keywords: Value Relevance, Correlated Omitted Variable Bias, Growth Expectations and Discount Rates

JEL Classification: M41, G12

Suggested Citation

Kothari, S.P. and Shanken, Jay A., Time-Series Coefficient Variation in Value-Relevance Regressions: A Discussion of Core, Guay, and Van Buskirk and New Evidence (October 2002). Journal of Accounting & Economics, Vol. 34, Nos. 1-3, pp. 69-87, January 2003. Available at SSRN: https://ssrn.com/abstract=347941

S.P. Kothari (Contact Author)

Massachusetts Institute of Technology (MIT) - Sloan School of Management ( email )

E52-325
Cambridge, MA 02142
United States
617-253-0994 (Phone)
617-253-0603 (Fax)

Jay A. Shanken

Emory University - Goizueta Business School ( email )

1300 Clifton Road
Atlanta, GA 30322-2722
United States
404-727-4772 (Phone)

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Register to save articles to
your library

Register

Paper statistics

Abstract Views
3,071
PlumX Metrics