کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5084954 | 1477923 | 2013 | 11 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Accruals quality, stock returns and asset pricing: Evidence from the UK
ترجمه فارسی عنوان
کیفیت جریمه، بازده سهام و قیمت دارایی: شواهد از انگلستان
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
The extent to which accruals quality (AQ) is relevant for asset pricing has been debated widely. Prior research in this area has focused almost exclusively on the US. Using UK data, we investigate whether AQ portfolios exhibit evidence of significant mispricing, and whether an AQ factor is useful in explaining the portfolios' returns. We also investigate whether AQ is a priced risk factor. Using a two stage cross-sectional regression, we show that an AQ measure explains the cross-section of stock returns. AQ also explains the time-series variation in returns for two sets of portfolios: 16 size-BM portfolios, and 20 industry portfolios. Consistent with some recent US evidence, however, we find no evidence that AQ is a priced risk factor for UK stocks.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Financial Analysis - Volume 30, December 2013, Pages 203-213
Journal: International Review of Financial Analysis - Volume 30, December 2013, Pages 203-213
نویسندگان
Sulaiman Mouselli, Aziz Jaafar, John Goddard,