Within the EuropeanUnion, parent companies have to prepare and publish both consolidated andindividual financial statements. The objective of financial statements withgeneral purpose is to give information regarding the financial position,performance and changes in financial position of the reporting entity,information that is useful to investors and other users in making economicdecisions. In order to be useful, financial information needs to be relevant tothe decision-making process of users in general, and investors in particular.Therefore, the following question arises naturally – which of the two sets bestserves the information needs of investors (and other categories of users),respectively which of the two sets is more relevant for investors? In ourscientific endeavor we set to carry out an empirical association study on theproblem of market value relevance of consolidated financial statements and ofindividual financial statements of the parent company, searching for an answerto the above question. In this sense, we analyze the (absolute and relative)market value relevance of consolidated accounting information of listedcompanies between 2003-2008 on the largest stock markets in Europe (London, Paris, and Frankfurt). Through this empirical study we intend tocontribute to the relatively limited literature on this topic with acomparative time analysis of the absolute and incremental relevance offinancial information supplied by the two categories of financial statements(group and individual).