The accrual anomaly: Evidence from Borsa Istanbul ☆
|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|45337||2015||11 صفحه PDF||سفارش دهید||7950 کلمه|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Borsa Istanbul Review, Volume 15, Issue 2, June 2015, Pages 115–125
In this study, we seek to answer whether stock prices fully reflect information in accruals and cash flows about future earnings. Following prior research, we perform Mishkin test and hedge portfolio analysis. The results based on full sample do not indicate mispricing in the components of earnings on Borsa Istanbul. When we exclude loss firms from the full sample, mispricing of total accruals and its components, and thus the presence of accrual anomaly on Borsa Istanbul, is revealed. Using trading strategy based on total accruals of profit firms, investors may generate abnormal returns of 18.58%. These results may suggest that Borsa Istanbul is not efficient in semi-strong form.