Price Divergence from Fundamental Value and the Value Relevance of Accounting Information*
用两种基本价值衡量指标重新检验会计信息价值相关性随时间的变化，发现价格与基本价值的偏离随时间增大，且与噪声交易和套利成本相关，但会计信息对基本价值的价值相关性并未下降。
By employing two alternative measures of fundamental value, we reexamine the value relevance of accounting information over time. Consistent with some recent studies, we do not find evidence on the temporal decline in R 2s of conventional value-relevance regressions when the stock price is replaced by these measures as the dependent variable. Further, our results show that the divergence between fundamental value and the prevailing stock price (a) increases over time and (b) is associated with measures of noise trading and other arbitrage risks and costs. Additional analyses also reveal that proxies measuring the extent of noise trading increase over time. Overall, we do not find evidence that there is a loss over time in the value relevance of accounting information with respect to fundamental value. More importantly, we show that measures of price divergence are associated with noise trading as well as other arbitrage costs and risks (such as transaction costs and information uncertainty) that prohibit market prices from converging to fundamental values.