International Journal of Economics and Finance; Vol. 9, No. 10; 2017 ISSN 1916-971X E-ISSN 1916-9728 Published by Canadian Center of Science and Education 1 The Relationship Between Accounting Information in the Financial Statements and the Stock Returns of Listed Firms in Vietnam Stock Exchange Ngoc Hung Dang 1 , Thi Viet Ha Hoang 1 & Manh Dung Tran 2 1 Hanoi University of Industry, Vietnam 2 National Economics University, Vietnam Correspondence: Manh Dung Tran, Room No. 202, A14, Living quarter of National Economics University, Hai Ba Trung District, Hanoi, Vietnam. Tel: 947-120-510. E-mail: tmdungktoan@yahoo.com Received: July 19, 2017 Accepted: August 2, 2017 Online Published: August 25, 2017 doi:10.5539/ijef.v9n10p1 URL: https://doi.org/10.5539/ijef.v9n10p1 Abstract This study is conducted to analyse the relationship between accounting information in the financial statements and the stock returns of listed firms in Vietnam Stock Market. Using OLS, FEM, REM, GLS, and GMM regression models, the study examines the relationship of earnings, volatility in the rate of return, size, levering ratios and growth rates to the stock returns of 274 firms in the period from 2012 to 2016. Findings from the study show that the rate of return, the change in the rate of return, gearing ratio and growth rate are positively correlated to the stock returns, while the size of firm by assets is negatively related to stock returns. Based on the research’ s results, the authors also provide some recommendations for investors, firm management and policy makers. Keywords: accounting information, stock returns, Vietnam stock exchange 1. Introduction In recent decades, a considerable volume of empirical studies has been carried out to examine the relationship between financial information and investors’ decisions, including the study by Miller and Modigliani (1966). The findings show that income variables are the most important explanatory variable in valuation equations. In other words, accounting information has a strong positive correlation to investors’ decisions. A related study by Ball & Brown (1968) investigates the usefulness of profitability information to investors ’ decisions by examining the impact of earnings per share (EPS) on the abnormal returns of stock. Stock prices are influenced by a variety of factors, including the accounting information in the financial statements. In the developed securities markets, a number of researches has been conducted for finding empirical evidence related to the relationship between accounting information on financial statements and stock returns. Ball and Brown (1968), who carried out an empirical study to analyze this relationship between in the New York Stock Exchange, find that earnings disclosed in financial statements have considerable impacts on stock prices. Basu (1983) investigated the relationship between income, market value and stock returns. Freeman (1987), Collins and Kothari (1989) and Easton and Harris (1991) conducted income models using income and stock return variables by examining the relationship between current earnings divided by opening stock price and stock return. Lipe et al. (1998), Dimitropoulos and Asteriou (2009), Cheng et al. (2013) used a time series earnings model to analyse impacts of regular earnings on the significance and volatility of earnings in explaining stock returns of listed firms. In Vietnam, there has been many empirical studies carried out to examine the relationship between accounting information and stock prices, including Nguyen (2009), Nguyen (2011), Tran (2013), Ta (2015), Truong and Nguyen (2016), Nguyen (2016). Due to different models using different constant and dependent variables, findings of these studies are not identical. The literature review shows that previous researches were conducted applying the basis of two different methods: (i) Using model in Ohlson (1995) such as Nguyen (2009), Nguyen (2011), Tran (2013), Truong and Nguyen (2016); or (ii) Using model in Easton and Harris (1991) such as Ta (2015), Tran (2015).