Explaining Accrual Anomaly Using Multi-factor Pricing Model in Tehran Stock Exchange

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Arabzadeh Meysam; Foroghi Daruosh; AMIRI HADI

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Journal: FINANCIAL RESEARCH Year:2018 | Volume:20 | Issue:3 Page(s): 305-326

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Information Journal Paper

Title

Explaining Accrual Anomaly Using Multi-factor Pricing Model in Tehran Stock Exchange

Author(s)

Arabzadeh Meysam | Foroghi Daruosh | AMIRI HADI | Issue Writer Certificate

Keywords

Accrual factorQ1

Accrual characteristicQ2

Behavior financeQ1

Limited attention of investorQ1

MispricingQ2

Abstract

Objective: The main objective of this research is to explain the accrual anomaly using accruals factor (CMA) and accrual-based factor-mimicking portfolios as well as checking whether accrual anomaly is risk-based or Mispricing. According to rational frictionless asset pricing model, the ability of accruals to predict returns should come from the loadings on this Accrual factor loading that predicts returns. Methods: In this research, to test the hypotheses of time series regression and also, the four-factor pricing model is used to analyze accrual anomaly. Results: Our tests showed that it is the Accrual characteristic rather than the Accrual factor loading that predicts returns. These results indicated that investors evaluate the Accrual characteristic in an incorrect manner and cause doubts on the rational risk explanation Conclusion: We can conclude that there is a relationship between accruals and returns, and this comovement is attributed to Mispricing of investors. In other words, accrual anomaly results from Mispricing.

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APA: Copy

Arabzadeh, Meysam, Foroghi, Daruosh, & AMIRI, HADI. (2018). Explaining Accrual Anomaly Using Multi-factor Pricing Model in Tehran Stock Exchange. FINANCIAL RESEARCH, 20(3 ), 305-326. SID. https://sid.ir/paper/91206/en

Vancouver: Copy

Arabzadeh Meysam, Foroghi Daruosh, AMIRI HADI. Explaining Accrual Anomaly Using Multi-factor Pricing Model in Tehran Stock Exchange. FINANCIAL RESEARCH[Internet]. 2018;20(3 ):305-326. Available from: https://sid.ir/paper/91206/en

IEEE: Copy

Meysam Arabzadeh, Daruosh Foroghi, and HADI AMIRI, “Explaining Accrual Anomaly Using Multi-factor Pricing Model in Tehran Stock Exchange,” FINANCIAL RESEARCH, vol. 20, no. 3 , pp. 305–326, 2018, [Online]. Available: https://sid.ir/paper/91206/en

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