Explaining Accrual Anomaly Using Multi-factor Pricing Model in Tehran Stock Exchange
<strong>Objective</strong><strong>:</strong> The main objective of this research is to explain the accrual anomaly using accruals factor (CMA) and accrual-based factor-mimicking portfolios as well as checking whether accrual anomaly is risk-based or mispricing. According to r...
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| Format: | Article |
| Language: | fas |
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University of Tehran
2018-11-01
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| Series: | تحقیقات مالی |
| Subjects: | |
| Online Access: | https://jfr.ut.ac.ir/article_68610_e45b9fb651e7eb22b53c0ef094c3473d.pdf |
| _version_ | 1819116224047480832 |
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| author | Meysam Arabzadeh Daruosh Foroghi Hadi Amiri |
| author_facet | Meysam Arabzadeh Daruosh Foroghi Hadi Amiri |
| author_sort | Meysam Arabzadeh |
| collection | DOAJ |
| description | <strong>Objective</strong><strong>:</strong> The main objective of this research is to explain the accrual anomaly using accruals factor (CMA) and accrual-based factor-mimicking portfolios as well as checking whether accrual anomaly is risk-based or mispricing. According to rational frictionless asset pricing model, the ability of accruals to predict returns should come from the loadings on this accrual factor loading that predicts returns.
<strong>Methods</strong><strong>:</strong> In this research, to test the hypotheses of time series regression and also, the four-factor pricing model is used to analyze accrual anomaly.
<strong>Results</strong><strong>:</strong>Our tests showed that it is the accrual characteristic rather than the accrual factor loading that predicts returns. These results indicated that investors evaluate the accrual characteristic in an incorrect manner and cause doubts on the rational risk explanation
<strong>Conclusion</strong><strong>:</strong> We can conclude that there is a relationship between accruals and returns, and this comovement is attributed to mispricing of investors<strong>. </strong>In other words, accrual anomaly results from mispricing. |
| first_indexed | 2024-12-22T05:13:41Z |
| format | Article |
| id | doaj.art-60b5340972f647518f73b87904aba8ca |
| institution | Directory Open Access Journal |
| issn | 1024-8153 2423-5377 |
| language | fas |
| last_indexed | 2024-12-22T05:13:41Z |
| publishDate | 2018-11-01 |
| publisher | University of Tehran |
| record_format | Article |
| series | تحقیقات مالی |
| spelling | doaj.art-60b5340972f647518f73b87904aba8ca2022-12-21T18:37:55ZfasUniversity of Tehranتحقیقات مالی1024-81532423-53772018-11-0120330532610.22059/frj.2018.261339.100669068610Explaining Accrual Anomaly Using Multi-factor Pricing Model in Tehran Stock ExchangeMeysam Arabzadeh0Daruosh Foroghi1Hadi Amiri2Ph.D. Candidate, Department of Accounting, Faculty of Administrative and Economic, University of Isfahan, Isfahan, IranAssociate Prof., Department of Accounting, Faculty of Administrative and Economic, University of Isfahan, Isfahan, IranAssistant Prof., Department of Economic, Faculty of Administrative and Economic, University of Isfahan, Isfahan, Iran<strong>Objective</strong><strong>:</strong> The main objective of this research is to explain the accrual anomaly using accruals factor (CMA) and accrual-based factor-mimicking portfolios as well as checking whether accrual anomaly is risk-based or mispricing. According to rational frictionless asset pricing model, the ability of accruals to predict returns should come from the loadings on this accrual factor loading that predicts returns. <strong>Methods</strong><strong>:</strong> In this research, to test the hypotheses of time series regression and also, the four-factor pricing model is used to analyze accrual anomaly. <strong>Results</strong><strong>:</strong>Our tests showed that it is the accrual characteristic rather than the accrual factor loading that predicts returns. These results indicated that investors evaluate the accrual characteristic in an incorrect manner and cause doubts on the rational risk explanation <strong>Conclusion</strong><strong>:</strong> We can conclude that there is a relationship between accruals and returns, and this comovement is attributed to mispricing of investors<strong>. </strong>In other words, accrual anomaly results from mispricing.https://jfr.ut.ac.ir/article_68610_e45b9fb651e7eb22b53c0ef094c3473d.pdfaccrual factoraccrual characteristicbehavior financelimited attention of investormispricing |
| spellingShingle | Meysam Arabzadeh Daruosh Foroghi Hadi Amiri Explaining Accrual Anomaly Using Multi-factor Pricing Model in Tehran Stock Exchange تحقیقات مالی accrual factor accrual characteristic behavior finance limited attention of investor mispricing |
| title | Explaining Accrual Anomaly Using Multi-factor Pricing Model in Tehran Stock Exchange |
| title_full | Explaining Accrual Anomaly Using Multi-factor Pricing Model in Tehran Stock Exchange |
| title_fullStr | Explaining Accrual Anomaly Using Multi-factor Pricing Model in Tehran Stock Exchange |
| title_full_unstemmed | Explaining Accrual Anomaly Using Multi-factor Pricing Model in Tehran Stock Exchange |
| title_short | Explaining Accrual Anomaly Using Multi-factor Pricing Model in Tehran Stock Exchange |
| title_sort | explaining accrual anomaly using multi factor pricing model in tehran stock exchange |
| topic | accrual factor accrual characteristic behavior finance limited attention of investor mispricing |
| url | https://jfr.ut.ac.ir/article_68610_e45b9fb651e7eb22b53c0ef094c3473d.pdf |
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