INVESTIGATING BEHAVIORAL AND RATIONAL EXPECTATIONS VIEWS IN DESCRIBING THE ACCRUALS ANOMALY

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HASHEMI S.A.; KIANI GH.H.; ROUHOLLAHI V.

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Journal: Financial Accounting Research Year:2014 | Volume:6 | Issue:4 (22) Page(s): 37-54

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Title

INVESTIGATING BEHAVIORAL AND RATIONAL EXPECTATIONS VIEWS IN DESCRIBING THE ACCRUALS ANOMALY

Author(s)

HASHEMI S.A. | KIANI GH.H. | ROUHOLLAHI V. | Issue Writer Certificate

Keywords

ACCRUAL ANOMALYQ2

INTRINSIC VALUEQ2

SIZE-ADJUSTED FUTURE STOCK RETURNQ2

Abstract

One of the equity market anomalies is ACCRUAL ANOMALY. This anomaly observes the negative relationship between accruals and future stock returns. In this regard, there are two points of view, behavioral and rational expectations. Analyzing book-to-market decomposition, this study investigates these two views in one framework, examining which of the two is more related to ACCRUAL ANOMALY. Based on theoretical and research background, Book-to-Market (B/M) ratio is decomposed into Book-to-Intrinsic value (B/V) ratio and Intrinsic-to-Market value (V/M) ratio. B/V component shows the discount rate changes and firms’ investment related to growth (risk and growth) and of course it is based on the rational expectations view and V/M component states the investor’s mispricing and based on the behavioral view. The results of investigating 80 firms from companies listed in Tehran Stock Exchange from 2002 to 2009 offers that B/V and V/M have a negative and significant impact on accrual. Furthermore, there is ACCRUAL ANOMALY in the Tehran Stock Exchange somehow, relating to B/V. As a result, risk and growth are main cause of anomaly accrual.

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APA: Copy

HASHEMI, S.A., KIANI, GH.H., & ROUHOLLAHI, V.. (2014). INVESTIGATING BEHAVIORAL AND RATIONAL EXPECTATIONS VIEWS IN DESCRIBING THE ACCRUALS ANOMALY. JOURNAL OF FINANCIAL ACCOUNTING RESEARCH, 6(4 (22)), 37-54. SID. https://sid.ir/paper/155091/en

Vancouver: Copy

HASHEMI S.A., KIANI GH.H., ROUHOLLAHI V.. INVESTIGATING BEHAVIORAL AND RATIONAL EXPECTATIONS VIEWS IN DESCRIBING THE ACCRUALS ANOMALY. JOURNAL OF FINANCIAL ACCOUNTING RESEARCH[Internet]. 2014;6(4 (22)):37-54. Available from: https://sid.ir/paper/155091/en

IEEE: Copy

S.A. HASHEMI, GH.H. KIANI, and V. ROUHOLLAHI, “INVESTIGATING BEHAVIORAL AND RATIONAL EXPECTATIONS VIEWS IN DESCRIBING THE ACCRUALS ANOMALY,” JOURNAL OF FINANCIAL ACCOUNTING RESEARCH, vol. 6, no. 4 (22), pp. 37–54, 2014, [Online]. Available: https://sid.ir/paper/155091/en

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