Paper Title
The Ability of Accounting and Non-Accounting Information in Forming of Efficient Investment Portfolios: A Comparative Analysis Study on the Palestine Exchange

Abstract
The study aimed at analyzing accounting and non-accounting information ability in forming efficient investment portfolio. To achieve that two investment portfolios were structured, one is of high value and the other is of low value, based on the variable value ratios that the study represents including book value, return on assets, market stock prices and total risk measured by standard deviation during the period from 2013 to 2017for (28) companies. The necessary data were obtained from the monthly closed prices and the financial statements for the companies under investigation using the necessary statistical analysis required. The most important findings in the study show that high value investment portfolios based on return on assets can achieve better returns from market portfolio and high value portfolios based on book value, market stock prices and total risk measured by standard deviation. It also shows that accounting information based on return on assets and book value has a significant role in constructing efficient investment portfolios and proved reliable as an indicator of investment in the market and is better than the performance of market portfolio and portfolios based on non-accounting information. The study recommended the necessity of relying largely on accounting information than non-accounting information as a basic information resource when making investment decisions in Palestine exchange and the necessity of directing investors in Palestine exchange to the role and significance of financial analysis when feeling the need to construct an investment portfolio based on accounting information and particularly return on asset. Keywords - Return on Assets, Book Value, Total Risk, Stock Prices, Investment Portfolio.