کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5086986 1478203 2006 31 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Why is the accrual anomaly not arbitraged away? The role of idiosyncratic risk and transaction costs
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری حسابداری
پیش نمایش صفحه اول مقاله
Why is the accrual anomaly not arbitraged away? The role of idiosyncratic risk and transaction costs
چکیده انگلیسی
We show that the accrual anomaly documented by Sloan (1996) [Do stock prices fully reflect information in accruals and cash flows about future earnings? The Accounting Review 71: 289-315] is concentrated in firms with high idiosyncratic stock return volatility making it risky for risk-averse arbitrageurs to take positions in stocks with extreme accruals. Moreover, the accrual anomaly is found in low-price and low-volume stocks, suggesting that transaction costs impose further barriers to exploiting accrual mispricing.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Accounting and Economics - Volume 42, Issues 1–2, October 2006, Pages 3-33
نویسندگان
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