Going, going, gone? the apparent demise of the accruals anomaly / Jeremiah Green in Management science, Vol. 57 N° 5 (Mai 2011)  

Public ISBD [article]  inManagement science > Vol. 57 N° 5 (Mai 2011) . - pp. 797-816 Titre : Going, going, gone? the apparent demise of the accruals anomaly Type de document : texte imprimé Auteurs : Jeremiah Green, Auteur ; John R. M. Hand, Auteur ; Mark T. Soliman, Auteur Année de publication : 2011 Article en page(s) : pp. 797-816 Note générale : Management Langues : Anglais (eng) Mots-clés : Accruals anomaly Market efficiency Hedge funds Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : Consistent with public statements made by sophisticated practitioners, we document that the hedge returns to Sloan's (Sloan, R. G. 1996. Do stock prices fully reflect information in accruals and cash flows about future earnings? Accounting Rev. 71(3) 289–315) accruals anomaly appear to have decayed in U.S. stock markets to the point that they are, on average, no longer reliably positive. We explore some potential reasons why this has happened. Our empirical analyses suggest that the anomaly's demise stems in part from an increase in the amount of capital invested by hedge funds into exploiting it, as measured by hedge fund assets under management and trading volume in extreme accrual firms. A decline in the size of the accrual mispricing signal, as measured by the magnitude of extreme decile accruals and the relative persistence of cash flows and accruals, may also play a (weaker) role. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/cgi/content/abstract/57/5/797 [article] Going, going, gone? the apparent demise of the accruals anomaly [texte imprimé] / Jeremiah Green, Auteur ; John R. M. Hand, Auteur ; Mark T. Soliman, Auteur . - 2011 . - pp. 797-816. Management Langues : Anglais (eng) in Management science > Vol. 57 N° 5 (Mai 2011) . - pp. 797-816 Mots-clés : Accruals anomaly Market efficiency Hedge funds Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : Consistent with public statements made by sophisticated practitioners, we document that the hedge returns to Sloan's (Sloan, R. G. 1996. Do stock prices fully reflect information in accruals and cash flows about future earnings? Accounting Rev. 71(3) 289–315) accruals anomaly appear to have decayed in U.S. stock markets to the point that they are, on average, no longer reliably positive. We explore some potential reasons why this has happened. Our empirical analyses suggest that the anomaly's demise stems in part from an increase in the amount of capital invested by hedge funds into exploiting it, as measured by hedge fund assets under management and trading volume in extreme accrual firms. A decline in the size of the accrual mispricing signal, as measured by the magnitude of extreme decile accruals and the relative persistence of cash flows and accruals, may also play a (weaker) role. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/cgi/content/abstract/57/5/797

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