THE ABILITY OF ACCRUALS (AB NORMAL) TO EXPLAIN BEHAVIOR OF STOCK RETURN: SURVEY OF EFFECT OF EARNING AND SYSTEMATIC RISK (β)

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MASHAYEKHI BITA; FADAEI NEJAD MOHAMMAD ESMAEEL; KALATE RAHMANI RAHELE

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Journal: JOURNAL OF ACCOUNTING AND AUDITING RESEARCHES (ACCOUNTING RESEARCH) Year:2010 | Volume:1 | Issue:4 Page(s): 164-183

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Title

THE ABILITY OF ACCRUALS (AB NORMAL) TO EXPLAIN BEHAVIOR OF STOCK RETURN: SURVEY OF EFFECT OF EARNING AND SYSTEMATIC RISK (β)

Author(s)

MASHAYEKHI BITA | FADAEI NEJAD MOHAMMAD ESMAEEL | KALATE RAHMANI RAHELE | Issue Writer Certificate

Keywords

(ABNORMAL) ACCRUALSQ3

MARKET MISPRICINGQ3

OPERATING CASH FLOWS-TO-PRICE RATIOQ3

VALUE- GLAMOUR ANOMALYQ3

Abstract

This research is replying to this question whether accrual anomaly is based on risk or is result of investor mispricing of earning. Recent research provide evidence that the ability of accruals to explain future returns is subsumed by the OPERATING CASH FLOWS-TO-PRICE RATIO (OCF/P) and conclude accrual anomaly do not likely cause in the mispricing of earnings [15]. In this research, this result will be examined by testing the relation between (abnormal) accruals and both future annual returns and future earnings announcement returns. Also will be used zero- investment portfolio analysis. For this reason, a sample of 69 firms accepted in Tehran Stock Exchange (TSE) during the period of 1379-1385 examined. Results indicate that OCF/P does not subsume total accruals (abnormal) in explaining future annual returns and announcement returns. And then accrual anomaly isn't a manifestation of the VALUE- GLAMOUR ANOMALY.

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APA: Copy

MASHAYEKHI, BITA, FADAEI NEJAD, MOHAMMAD ESMAEEL, & KALATE RAHMANI, RAHELE. (2010). THE ABILITY OF ACCRUALS (AB NORMAL) TO EXPLAIN BEHAVIOR OF STOCK RETURN: SURVEY OF EFFECT OF EARNING AND SYSTEMATIC RISK (β). JOURNAL OF ACCOUNTING AND AUDITING RESEARCHES (ACCOUNTING RESEARCH), 1(4), 164-183. SID. https://sid.ir/paper/157325/en

Vancouver: Copy

MASHAYEKHI BITA, FADAEI NEJAD MOHAMMAD ESMAEEL, KALATE RAHMANI RAHELE. THE ABILITY OF ACCRUALS (AB NORMAL) TO EXPLAIN BEHAVIOR OF STOCK RETURN: SURVEY OF EFFECT OF EARNING AND SYSTEMATIC RISK (β). JOURNAL OF ACCOUNTING AND AUDITING RESEARCHES (ACCOUNTING RESEARCH)[Internet]. 2010;1(4):164-183. Available from: https://sid.ir/paper/157325/en

IEEE: Copy

BITA MASHAYEKHI, MOHAMMAD ESMAEEL FADAEI NEJAD, and RAHELE KALATE RAHMANI, “THE ABILITY OF ACCRUALS (AB NORMAL) TO EXPLAIN BEHAVIOR OF STOCK RETURN: SURVEY OF EFFECT OF EARNING AND SYSTEMATIC RISK (β),” JOURNAL OF ACCOUNTING AND AUDITING RESEARCHES (ACCOUNTING RESEARCH), vol. 1, no. 4, pp. 164–183, 2010, [Online]. Available: https://sid.ir/paper/157325/en

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