An exploration of two accounting-based models for earnings misstatements and their implications for stock returns
Thesis: M. Fin., Massachusetts Institute of Technology, Sloan School of Management, Master of Finance Program, 2014.
| Main Author: | |
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| Other Authors: | |
| Format: | Thesis |
| Language: | eng |
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Massachusetts Institute of Technology
2014
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| Online Access: | http://hdl.handle.net/1721.1/90228 |
| _version_ | 1811069047398203392 |
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| author | Noh, Suzie |
| author2 | S.P. Kothari. |
| author_facet | S.P. Kothari. Noh, Suzie |
| author_sort | Noh, Suzie |
| collection | MIT |
| description | Thesis: M. Fin., Massachusetts Institute of Technology, Sloan School of Management, Master of Finance Program, 2014. |
| first_indexed | 2024-09-23T08:04:51Z |
| format | Thesis |
| id | mit-1721.1/90228 |
| institution | Massachusetts Institute of Technology |
| language | eng |
| last_indexed | 2024-09-23T08:04:51Z |
| publishDate | 2014 |
| publisher | Massachusetts Institute of Technology |
| record_format | dspace |
| spelling | mit-1721.1/902282019-04-09T16:32:17Z An exploration of two accounting-based models for earnings misstatements and their implications for stock returns Noh, Suzie S.P. Kothari. Sloan School of Management. Master of Finance Program. Sloan School of Management. Master of Finance Program. Sloan School of Management. Master of Finance Program. Thesis: M. Fin., Massachusetts Institute of Technology, Sloan School of Management, Master of Finance Program, 2014. Cataloged from PDF version of thesis. Includes bibliographical references (pages 56-59). Using two popular accounting-based models for earnings manipulation (i.e., the Beneish M-Score and the Dechow F-Score) and the financial data of public companies from 2004 to 2012, 1 find that the M-Score (F-Score) predicts less (more) earnings overstatements during the recent financial crisis in 2007-2008 than other sample years. However, a detailed investigation at the industry level reveals that this does not hold in all industries. I further show that the potential misstating firms flagged by the M-Score tend to under-perform the market both at the aggregate and the industry level, and some of those flagged by the F-Score under-perform at the industry level. Finally, by running Fama-French three-factor regressions at the aggregate level, I provide evidence that the firms flagged by the MScore generally yield negative risk-adjusted stock returns. The evidence suggests public availability of financial statements alone does not ensure that all the elements of financial statements are fully integrated into prices in a timely manner. Overall, this study provides substantial support for the use of quantitative accounting analysis in equity trading. by Suzie Noh. M. Fin. 2014-09-19T21:47:19Z 2014-09-19T21:47:19Z 2014 2014 Thesis http://hdl.handle.net/1721.1/90228 890375294 eng M.I.T. theses are protected by copyright. They may be viewed from this source for any purpose, but reproduction or distribution in any format is prohibited without written permission. See provided URL for inquiries about permission. http://dspace.mit.edu/handle/1721.1/7582 59 pages application/pdf Massachusetts Institute of Technology |
| spellingShingle | Sloan School of Management. Master of Finance Program. Noh, Suzie An exploration of two accounting-based models for earnings misstatements and their implications for stock returns |
| title | An exploration of two accounting-based models for earnings misstatements and their implications for stock returns |
| title_full | An exploration of two accounting-based models for earnings misstatements and their implications for stock returns |
| title_fullStr | An exploration of two accounting-based models for earnings misstatements and their implications for stock returns |
| title_full_unstemmed | An exploration of two accounting-based models for earnings misstatements and their implications for stock returns |
| title_short | An exploration of two accounting-based models for earnings misstatements and their implications for stock returns |
| title_sort | exploration of two accounting based models for earnings misstatements and their implications for stock returns |
| topic | Sloan School of Management. Master of Finance Program. |
| url | http://hdl.handle.net/1721.1/90228 |
| work_keys_str_mv | AT nohsuzie anexplorationoftwoaccountingbasedmodelsforearningsmisstatementsandtheirimplicationsforstockreturns AT nohsuzie explorationoftwoaccountingbasedmodelsforearningsmisstatementsandtheirimplicationsforstockreturns |