The objective of this research was to determine if there is empirical evidence to show that a statistical dependence exists between accounting variables and stock market returns in a Mexican context. Security price research refers to such statistical dependence as "information content."

In order to satisfy the above objective, three different abnormal performance indexes were used and the following hypothesis were tested: Hypothesis One:

H : There is no relationship between the sign of the forecast error and the sign of the abnormal return.

To test for cumulative abnormal returns, the next hypothesis was also tested.

H : There is no relationship between the sign of the forecast error and the sign of the "cumulative" abnormal return.

Hypothesis Two

H : The expected value of the abnormal return is equal to zero.

Hypothesis Three

H : The expected value of the" cumulative" abnormal return is equal to zero.

The interpretation of the results indicate that accounting numbers, specifically EPS and cash flow data, do possess informational content for investors in equity securities.

The association criterion was used to determine which expectation model and which accounting variable approximates market expectations. According to such criterion, results indicate that model 2 seems to be the model which approximates market expectations. Such a model assumes that the variable to be forecasted will change by the same amount that the previous year changed from the year before that.