CAPITAL INVESTMENTS, ACCRUALS, AND STOCK RETURNS

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MASHAYEKHI B.; FADAEI NEJAD M.E.; KALATE RAHMANI R.

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Journal: Financial Accounting Research Year:2010 | Volume:2 | Issue:1 (3) Page(s): 77-91

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Title

CAPITAL INVESTMENTS, ACCRUALS, AND STOCK RETURNS

Author(s)

MASHAYEKHI B. | FADAEI NEJAD M.E. | KALATE RAHMANI R. | Issue Writer Certificate

Keywords

ACCRUAL ANOMALYQ2

CAPITAL INVESTMENT ANOMALYQ3

CI HEDGE PORTFOLIOQ3

TAC HEDGE PORTFOLIOQ3

CI+TAC HEDGE PORTFOLIOQ3

Abstract

This research examines "ACCRUAL ANOMALY", "capital investment anomaly" and enhancing of performance of portfolio with exploiting both anomalies at the same time in Iran capital market. This topic is tested with examining performance portfolios based on capital investment and ACCRUAL ANOMALY, using three measures of returns. Based on a sample 480 company-years observations within firms listed in Tehran Stock Exchange (TSE) during the period of 1380-1386. Results show that "capital anomaly" and "ACCRUAL ANOMALY" exist in Iran capital market and they are distinct, even these two anomalies may be related in a certain way. The result also indicate that, after adjustment for the Fama-French three risk factors, investors earn higher returns by using a strategy that exploits both anomalies at the same time than by exploiting either anomaly alone.

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APA: Copy

MASHAYEKHI, B., FADAEI NEJAD, M.E., & KALATE RAHMANI, R.. (2010). CAPITAL INVESTMENTS, ACCRUALS, AND STOCK RETURNS. JOURNAL OF FINANCIAL ACCOUNTING RESEARCH, 2(1 (3)), 77-91. SID. https://sid.ir/paper/155097/en

Vancouver: Copy

MASHAYEKHI B., FADAEI NEJAD M.E., KALATE RAHMANI R.. CAPITAL INVESTMENTS, ACCRUALS, AND STOCK RETURNS. JOURNAL OF FINANCIAL ACCOUNTING RESEARCH[Internet]. 2010;2(1 (3)):77-91. Available from: https://sid.ir/paper/155097/en

IEEE: Copy

B. MASHAYEKHI, M.E. FADAEI NEJAD, and R. KALATE RAHMANI, “CAPITAL INVESTMENTS, ACCRUALS, AND STOCK RETURNS,” JOURNAL OF FINANCIAL ACCOUNTING RESEARCH, vol. 2, no. 1 (3), pp. 77–91, 2010, [Online]. Available: https://sid.ir/paper/155097/en

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