This paper examines the value relevance of accounting fundamentals in the Mexican Stock Market ([BMV] - Bolsa Mexicana … de Valores). The research question that motivated the paper was: Can accounting fundamentals provide relevant information … to better understand firm value? More specifically, the paper examines whether the application of an accounting …

We study the economic importance of accounting information as defined by the value that a sophisticated investor can …-specific annual accounting characteristics-accruals, change in earnings, and asset growth. We find that the set of optimal portfolio … weights generated by accounting characteristics yield an out-of-sample, pre-transactions-costs annual information ratio of 1 …