عنوان مقاله | |
عنوان مقاله |
Accruals and the performance of stock returns following external financing activities |
عنوان فارسی مقاله | اقلام تعهدی و عملکرد بازده سهام به دنبال فعالیتهای تأمین مالی خارجی |
مشخصات مقاله انگلیسی | |
نشریه: Springer | |
سال انتشار |
2011 |
عنوان مجله |
The British Accounting Review |
تعداد صفحات مقاله انگلیسی | 16 |
رفرنس | دارد |
تعداد رفرنس | 57 |
چکیده مقاله | |
چکیده |
This paper investigates the relation of the external financing anomaly with the accrual anomaly, by focusing separately on working capital accruals and long-term accruals. We find that external financing and accrual hedge portfolios not only generate superior returns, but they also constitute statistical arbitrage opportunities. Portfolio-level analysis and firm-level cross-sectional regressions show that the ability of external financing measures in predicting future returns remains strong, after controlling for working capital accruals. However, this ability is substantially reduced after controlling for long-term accruals. Our results appear to be consistent with investors’ failure to recognise agencyrelated overinvestment and/or opportunistic earnings management. |
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