The accrual anomaly: Evidence from Borsa Istanbul
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...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Elsevier
2015-06-01
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| Series: | Borsa Istanbul Review |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2214845015000101 |
| _version_ | 1797998252299124736 |
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| author | Nasif Ozkan Mustafa Mesut Kayali |
| author_facet | Nasif Ozkan Mustafa Mesut Kayali |
| author_sort | Nasif Ozkan |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-04-11T10:45:42Z |
| format | Article |
| id | doaj.art-91326f5037564f5ea0c50d655be96379 |
| institution | Directory Open Access Journal |
| issn | 2214-8450 |
| language | English |
| last_indexed | 2024-04-11T10:45:42Z |
| publishDate | 2015-06-01 |
| publisher | Elsevier |
| record_format | Article |
| series | Borsa Istanbul Review |
| spelling | doaj.art-91326f5037564f5ea0c50d655be963792022-12-22T04:29:03ZengElsevierBorsa Istanbul Review2214-84502015-06-0115211512510.1016/j.bir.2015.01.002The accrual anomaly: Evidence from Borsa IstanbulNasif Ozkan0Mustafa Mesut Kayali1Dumlupinar University, School of Applied Sciences, Department of Banking and Finance, Kutahya, TurkeyDumlupinar University, Faculty of Economics and Administrative Sciences, Department of Business Administration, Kutahya, TurkeyIn 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.http://www.sciencedirect.com/science/article/pii/S2214845015000101Earnings componentsAccrual anomalyProfit firmsBorsa Istanbul |
| spellingShingle | Nasif Ozkan Mustafa Mesut Kayali The accrual anomaly: Evidence from Borsa Istanbul Borsa Istanbul Review Earnings components Accrual anomaly Profit firms Borsa Istanbul |
| title | The accrual anomaly: Evidence from Borsa Istanbul |
| title_full | The accrual anomaly: Evidence from Borsa Istanbul |
| title_fullStr | The accrual anomaly: Evidence from Borsa Istanbul |
| title_full_unstemmed | The accrual anomaly: Evidence from Borsa Istanbul |
| title_short | The accrual anomaly: Evidence from Borsa Istanbul |
| title_sort | accrual anomaly evidence from borsa istanbul |
| topic | Earnings components Accrual anomaly Profit firms Borsa Istanbul |
| url | http://www.sciencedirect.com/science/article/pii/S2214845015000101 |
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