The Link of Abnormal Accrual Mispricing and Value- Glamour Stock Anomaly: Evidence from the Indonesian Capital Market
Abstract: The purpose of this study is to investigate whether abnormal accrual mispricing acknowledged in accounting literature is a manifestation of documented value-glamour anomaly in finance literature. This study proposes the traditional value-glamour proxies (sales growth, book-to-market, earni...
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| Format: | Article |
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[Yogyakarta] : Universitas Gadjah Mada
2012
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| _version_ | 1797020003537518592 |
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| author | Perpustakaan UGM, i-lib |
| author_facet | Perpustakaan UGM, i-lib |
| author_sort | Perpustakaan UGM, i-lib |
| collection | UGM |
| description | Abstract: The purpose of this study is to investigate whether abnormal accrual mispricing acknowledged in accounting literature is a manifestation of documented value-glamour anomaly in finance literature. This study proposes the traditional value-glamour proxies (sales growth, book-to-market, earningprice, cash flows-price, and size) and CFO/P ratio (ratio of operating cash flows and stock price) to explain the mispricing of abnormal accruals.
Using a sample of 540 firm-year observations of companies listed on the Jakarta Stock Exchange (JSE) from the period of 1993 to 2003, the study finds that individually, only either the E/P or CFO/P ratio can pick up the mispricing attributed to abnormal accruals. These results can be interpreted as follows: (1) as captured by E/P ratio, abnormal accrual mispricing is due to the market�s inability to understand managers� attempts to manage reported earnings |
| first_indexed | 2024-03-05T23:13:10Z |
| format | Article |
| id | oai:generic.eprints.org:28884 |
| institution | Universiti Gadjah Mada |
| last_indexed | 2024-03-13T19:08:34Z |
| publishDate | 2012 |
| publisher | [Yogyakarta] : Universitas Gadjah Mada |
| record_format | dspace |
| spelling | oai:generic.eprints.org:288842014-06-18T00:23:10Z https://repository.ugm.ac.id/28884/ The Link of Abnormal Accrual Mispricing and Value- Glamour Stock Anomaly: Evidence from the Indonesian Capital Market Perpustakaan UGM, i-lib Jurnal i-lib UGM Abstract: The purpose of this study is to investigate whether abnormal accrual mispricing acknowledged in accounting literature is a manifestation of documented value-glamour anomaly in finance literature. This study proposes the traditional value-glamour proxies (sales growth, book-to-market, earningprice, cash flows-price, and size) and CFO/P ratio (ratio of operating cash flows and stock price) to explain the mispricing of abnormal accruals. Using a sample of 540 firm-year observations of companies listed on the Jakarta Stock Exchange (JSE) from the period of 1993 to 2003, the study finds that individually, only either the E/P or CFO/P ratio can pick up the mispricing attributed to abnormal accruals. These results can be interpreted as follows: (1) as captured by E/P ratio, abnormal accrual mispricing is due to the market�s inability to understand managers� attempts to manage reported earnings [Yogyakarta] : Universitas Gadjah Mada 2012 Article NonPeerReviewed Perpustakaan UGM, i-lib (2012) The Link of Abnormal Accrual Mispricing and Value- Glamour Stock Anomaly: Evidence from the Indonesian Capital Market. Jurnal i-lib UGM. http://i-lib.ugm.ac.id/jurnal/download.php?dataId=11947 |
| spellingShingle | Jurnal i-lib UGM Perpustakaan UGM, i-lib The Link of Abnormal Accrual Mispricing and Value- Glamour Stock Anomaly: Evidence from the Indonesian Capital Market |
| title | The Link of Abnormal Accrual Mispricing and Value- Glamour Stock Anomaly: Evidence from the Indonesian Capital Market |
| title_full | The Link of Abnormal Accrual Mispricing and Value- Glamour Stock Anomaly: Evidence from the Indonesian Capital Market |
| title_fullStr | The Link of Abnormal Accrual Mispricing and Value- Glamour Stock Anomaly: Evidence from the Indonesian Capital Market |
| title_full_unstemmed | The Link of Abnormal Accrual Mispricing and Value- Glamour Stock Anomaly: Evidence from the Indonesian Capital Market |
| title_short | The Link of Abnormal Accrual Mispricing and Value- Glamour Stock Anomaly: Evidence from the Indonesian Capital Market |
| title_sort | link of abnormal accrual mispricing and value glamour stock anomaly evidence from the indonesian capital market |
| topic | Jurnal i-lib UGM |
| work_keys_str_mv | AT perpustakaanugmilib thelinkofabnormalaccrualmispricingandvalueglamourstockanomalyevidencefromtheindonesiancapitalmarket AT perpustakaanugmilib linkofabnormalaccrualmispricingandvalueglamourstockanomalyevidencefromtheindonesiancapitalmarket |