کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5087088 | 1478202 | 2007 | 28 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Delisting returns and their effect on accounting-based market anomalies
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موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
حسابداری
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چکیده انگلیسی
We show that tests of market efficiency are sensitive to the inclusion of delisting firm-years. When included, trading strategy returns based on anomaly variables can increase (for strategies based on earnings, cash flows and the book-to-market ratio) or decrease (for a strategy based on accruals). This is due to the disproportionate number of delisting firm-years in the lowest decile of these variables. Delisting firm-years are most often excluded because the researcher does not correctly incorporate delisting returns, because delisting return data are missing or because other research design choices implicitly exclude them.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Accounting and Economics - Volume 43, Issues 2â3, July 2007, Pages 341-368
Journal: Journal of Accounting and Economics - Volume 43, Issues 2â3, July 2007, Pages 341-368
نویسندگان
William Beaver, Maureen McNichols, Richard Price,