Does return dispersion explain the accrual and investment anomalies?

Chichernea, Doina; Holder, Anthony Dewayne; Petkevich, Alex

doi:10.1016/j.jacceco.2014.08.001

Cited by 40 publications

(33 citation statements)

References 68 publications

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“…Also, in third hypothesis, we evaluated the relationship between risk quality (which is a representative of systematic risk) and risk premium (which is a representative of stock return) and, based on the results, concluded that risk quality and, consequently, systematic risk can be an effecting factor on risk premium and stock return, and we can say it is an effecting factor on stock return. This study is similar to Chichernea et al (2014) and Bollerslev et al (2013) measured who the effect of systematic risk on stock return, which also found a meaningful relationship between stock return. Also, the hypothesis says that stock return of companies is a function of risk, and risk explains the changes of return rate of a share proved partially, and, based on testing hypothesis, we reached to results close to this hypothesis.…”

Section: Conclusion and Suggestionssupporting

confidence: 87%

“…By removing the return with shock of cash flow from achieved return, the return without shock of cash flow has inverse relationship with quality of accruals. Chichernea et al (2014) evaluated the relationship between systematic risk and accruals and investments. They found that the companies with lower accruals and lower investments have higher risks.…”

Section: Historymentioning

confidence: 99%

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Evaluating the effect of accruals quality, investments anomaly and quality of risk on risk premium (return) of stock of listed companies in Tehran Stock Exchange

Ebrahimi¹,

Nasab²,

Karim³

2016

Problems and Perspectives in Management

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(2016). Evaluating the effect of accruals quality, investments anomaly and quality of risk on risk premium (return) of stock of listed companies in Tehran Stock Exchange. Problems and Perspectives in Management, 14(3-si), 296-306. doi:10.21511/ppm.14(3-si Nowadays, reaching to economic goals in any society requires public participation, which is only the result of people participation. Investment in stock market is one of people participation methods. So, awareness from stock return and its affecting factors is one of anxieties of investors and owners of shares. In this research, authors evaluate the effective factors on stock return using Fama and French models. So, authors study the effect of some factors including accruals quality, anomalies of investments, size factor, market's risk premium factor, and book equity to market equity factor, on stock's risk premium which is representative of stock returns, in 70 listed companies in Tehran stock exchange from 20 March 2003 to 20 March 2014. Results showed that accruals quality and quality of risk have meaningful effect on risk premium, which is representative of stock returns. Results also show that investment anomaly has no meaningful effect on risk premium and, consequently, on stock returns.

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Section: Conclusion and Suggestionssupporting

confidence: 87%

Section: Historymentioning

confidence: 99%

Evaluating the effect of accruals quality, investments anomaly and quality of risk on risk premium (return) of stock of listed companies in Tehran Stock Exchange

Ebrahimi¹,

Nasab²,

Karim³

2016

Problems and Perspectives in Management

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show abstract

“…Consistent with this ‘earnings fixation’ hypothesis, many studies find evidence of mispricing of accruals, particularly for the least persistent and least reliable components (e.g., Green, Hand, & Soliman, ; Hirshleifer, Hou, & Teoh, ; Momente, Reggiani, & Richardson, ; Richardson, Sloan, Soliman, & Tuna, ; Xie, ). However, other studies find that exposure to a risk factor explains a large part of the accruals anomaly and interpret this as evidence of rational pricing (e.g., Chichernea, Holder, & Petkevich, ; Guo & Maio, ; Khan, ).…”

Section: Introductionmentioning

confidence: 99%

There are two very different accruals anomalies

Detzel

Schaberl

Strauss

2018

Euro Fin Management

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We document that several well‐known asset‐pricing implications of accruals differ for investment and non‐investment‐related components. Exposure to an investment‐accruals factor explains the cross‐section of returns better than accruals themselves, and sentiment negatively predicts this factor's returns. The opposite results hold for non‐investment accruals. Cash profitability only subsumes long‐term non‐investment accruals in the cross‐section of returns and economy‐wide investment accruals negatively predict stock‐market returns while other accruals do not. These results challenge existing accruals‐anomaly theories and resolve mixed evidence by showing the anomaly is two separate phenomena: a risk‐based investment accruals premium and a mispricing of non‐investment accruals.

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“…We propose that the maturity of the underlying asset for Treasury futures volume contains additional information about financial markets and the real economy on top of existing, commonly accepted predictors (see Chichernea, Holder, & Petkevich, ; Petkova & Zhang, ; Stivers & Sun, ). To test this, we use the following model:

y_{t + 1} goodbreakinfix= V_{t} β^{V} goodbreakinfix+ C_{t} β^{C} goodbreakinfix+ ϵ_{t + 1},

where

y_{t + 1}

is one of our lead indicators for financial market conditions and macroeconomic indicators.…”

Section: Discussionmentioning

confidence: 99%

Does maturity matter? The case of treasury futures volume

Chichernea

Huang

Petkevich

2019

Journal of Futures Markets

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We find that Treasury futures volume contains information about future economic and financial market conditions. Short‐ and long‐term volumes are economically different: A relatively higher volume in short‐term (long‐term) Treasury futures is counter‐cyclical (procyclical), preceding worse (better) economic and financial conditions. Further, we construct a single factor from futures volumes of different maturities that forecasts the performances of Treasury securities and the corporate debt and equity markets, as well as macroeconomic conditions. Our results are consistent with the notion that futures volumes from different market segments reflect differences in beliefs and contain different information about future financial and economic activity.

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Does return dispersion explain the accrual and investment anomalies?

Cited by 40 publications

References 68 publications

Evaluating the effect of accruals quality, investments anomaly and quality of risk on risk premium (return) of stock of listed companies in Tehran Stock Exchange

Evaluating the effect of accruals quality, investments anomaly and quality of risk on risk premium (return) of stock of listed companies in Tehran Stock Exchange

There are two very different accruals anomalies

Does maturity matter? The case of treasury futures volume

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