Does the Accrual Anomaly Persist? Evidence from the U.S. Stock Market

• Název práce v češtině: Does the Accrual Anomaly Persist? ; Evidence from the U.S. Stock Market
• Název v anglickém jazyce: Does the Accrual Anomaly Persist? ; Evidence from the U.S. Stock Market
• Klíčová slova: akruální anomálie, kvalita zisku, institucionální fond, cash flow odhady
• Klíčová slova anglicky: arrcual anomaly, earnings quality, institutional funds, cash flow forecast
• Akademický rok vypsání: 2016/2017
• Typ práce: diplomová práce
• Jazyk práce: angličtina
• Ústav: Institut ekonomických studií (23-IES)
• Vedoucí / školitel: prof. Ing. Evžen Kočenda, M.A., Ph.D., DSc.
• Řešitel: skrytý - zadáno a potvrzeno stud. odd.
• Datum přihlášení: 27.06.2017
• Datum zadání: 27.06.2017
• Datum a čas obhajoby: 14.09.2017 08:30
• Místo konání obhajoby: Opletalova - Opletalova 26, O105, Opletalova - místn. č. 105
• Datum odevzdání elektronické podoby: 31.07.2017
• Datum proběhlé obhajoby: 14.09.2017
• Oponenti: PhDr. Václav Korbel, Ph.D.

Seznam odborné literatury

Abarbanell, J., and V. L. Bernard. 1992. Tests of analysts’ overreaction/underreaction to earnings information as an explanation for anomalous stock price behavior. Journal of Finance 47 (3): 1181–1207.
Alford, A. W., J.J. Jones, and M. E. Zmijewski, 1994. Extensions and violations of the statutory SEC Form 10-K filing requirements. Journal of Accounting & Economics 17, 229-256.
Ali, A., X. Chen, T. Yao, and T. Yu. 2008. Do mutual funds profit from the accruals anomaly? Journal of Accounting Research 46 (1): 1–26.
Allen, E., J. Larson, R. Chad, and R. G. Sloan. 2010 Accrual reversals, earnings, and stock returns. Working paper.
Altman's failure prediction model. Finweek [online]. 2011, , 42-42 [cit. 2017-07-16]. ISSN 18124658.
Ball, Ray and Philip Brown. An Empirical Evaluation of Accounting Income Numbers. Journal of Accounting Research. 1968, 6(2), 159-178.
Barber, B., R. Lehavy, M. McNichols, and B. Trueman. 2001. Can investors profit from the prophets? Security analyst recommendations and stock returns. Journal of Finance 56: 531–563.
Barber, B., R. Lehavy, M. McNichols, and B. Trueman. 2006. Buys, holds, and sells: The distribution of investment banks’ stock ratings and the implications for the profitability of analysts’ recommendations. Journal of Accounting and Economics 41: 87–117.
Beaver, W.H. Perspectives on Recent Capital Market Research. The Accounting Review. 2002, 77(2), 453-474.
BEISLAND, Leif Atle. A review of the value relevance literature. The open business journal. 2009, 2(1), 7-27.
Biddle GC, Seow GS, Siegel AF. Relative versus incremental information content. Contemp Account Res 1995; 12: 1-23.
Bhojraj, S., P. Sengupta and S. Zhang. 2009. Restructuring charges, regulatory changes and the accruals anomaly. Working Paper, Cornell University/George Mason University.
Borges, Maria. The Ex-Dividend Day Stock Price Behavior: The Case of Portugal. Atlantic Economic Journal. 2008, 36(1), 15-30.
Bradshaw, M. T., S. A. Richardson, and R. G. Sloan. 2001. Do analysts and auditors use information in accruals? Journal of Accounting Research 39 (1): 45–74.
Call, A. 2008. Analysts’ cash flow forecasts and the relative informativeness and pricing of the cash component of earnings. Working paper , University of Georgia.
Call, A., S. Chen and Y. Tong. 2009. Are analysts’ earnings forecasts more accurate when accompanied by cash flow forecasts? Review of Accounting Studies 14: 358-391.
Call, A., S. Chen and Y. Tong. 2012. Are analysts’ cash flow forecasts naïve extensions of their own earnings forecasts? Contemporary Accounting Research (forthcoming).
Charitou A., Lambertides N and Trigeorgis L. Distress Risk, Growth and Earnings Quality. Abacus. 2011, 47(2), 158.
DeFond, M. and M. Hung. 2003. An empirical analysis of analysts’ cash flow forecasts. Journal of Accounting and Economics 35: 73–100.
Dechow PM. Accounting earnings and cash flows as measures of firm performance: The role of accounting accruals. J Account Econ 1994; 18: 3-42.
Dechow, P.M., S.A.Richardson, and R. G. Sloan. The Persistence and Pricing of the Cash Component of Earnings. Journal of Accounting Research. 2008, 46(3), 537.
Dechow, P. M., W. Ge, C. R. Larson, and R. G. Sloan. 2011. Predicting material accounting misstatements. In Contemporary Accounting Research, Forthcoming.
Dechow, P. M., and W. Ge. 2006. The persistence of earnings and cash flows and the role of special items: Implications for the accrual anomaly. Review of Accounting Studies 11: 253–296.
Dechow, P.M. , and I. Dichev, 2002. The quality of accruals and earnings: The role of accrual estimation errors. The Accounting Review 77 (Supplement): 35-59.
Fabozzi, Frank J. The handbook of financial instruments. Hoboken, New Jersey: Wiley, c2002. ISBN 0471220922.
Francis, J., R. Lafond, P. Olsson, and K. Schipper. 2007. Information uncertainty and post-earnings-announcement-drift. Journal of Business Finance & Accounting 34 (3–4): 403–433.
Francis J, Schipper K, Vincent L. The relative and incremental explanatory power of earnings and alternative (to Earnings) performance measures for returns. Contemp Account Res 2003; 20: 121-64.
Givoly, D., C. Hayn and R. Lehavy. 2009. The quality of analysts’ cash flow forecasts. The Accounting Review 86: 1877-1911.
Green, J., J. R. M. Hand, and M. Soliman. 2010. Going, going, gone? The demise of the accruals anomaly, Management Science.
Groysberg, B., P. Healy, G. Serafeim, D. Shanthikumar, and G. Yang. 2010. The performance of buy-side analyst recommendations. Working paper, Harvard Business SchoolHealy, Paul M. a James M. Wahlen. A Review of the Earnings Management Literature and Its Implications for Standard Setting. Accounting Horizons. 1999, 13(4), 365-383.
Heckman, J. 1979. Sample selection bias as a specification error. Econometrica 47: 153–61.
Chan, K., L. K. C. Chan, N. Jegadeesh, and J. Lakonishok. 2006. Earnings quality and stock returns, Journal of Business 79 (3): 1041–1082.
Jílek, Josef. Akciové trhy a investování. Praha: Grada, 2009. Finanční trhy a instituce. ISBN 978-80-247-2963-3.
Lang, Mark, and Russell Lundholm. "Cross-sectional determinants of analyst ratings of corporate disclosures." Journal of accounting research (1993): 246-271.
Leippold, M., and H. Lohre. 2010. Data snooping and the global accrual anomaly. Working paper. 2010, EFA 2007 Ljubljana Meetings Paper.
Leone, A., Minutti-Meza, M. and C. Wasley. 2012. Outliers and inference in accounting research. Working paper, University of Miami.
Lerman, A., J. Livnat, and R. R. Mendenhall. 2008. The high-volume return premium and post-earnings announcement drift. Working paper.
Lev, B., and D. Nissim. 2006. The persistence of the accruals anomaly. Contemporary Accounting Research 23 (1): 193–226.
Malkiel, Burton G. and Eugene F. Fama. 1970. Efficient capital markets: A review of theory and empirical work. The Journal of Finance. 1970, 25: 383-417 .
Mankiw, N. Gregory. 2014. Principles of economics. Seventh edition.
Mohanram, Partha S. Analysts' Cash Flow Forecasts and the Decline of the Accruals Anomaly. Contemporary Accounting Research. 2014, 31(4), 1143-1170.
Pincus, M., S. Rajgopal, and M. Venkatachalam. 2007. The accrual anomaly: International evidence. Accounting Review 82 (1): 169–203.
Porter, Michael E. The five competitive forces that shape strategy. Harvard Business Review [online]. 2008, 86(1), 78-93 [cit. 2016-12-26]. ISSN 00178012.
Radhakrishnan, S. a S.-L. Wu. Analysts' Cash Flow Forecasts and Accrual Mispricing. Contemporary Accounting Research. 2014, 31(4), 1191 - 1219.
Richardson, S. A., R. G. Sloan, M. T. Soliman, and I. Tuna. 2005. Accrual reliability, earnings persistence and stock prices. Journal of Accounting & Economics 39 (3): 437–485.
Richardson, S. A., R. G. Sloan, M. T. Soliman, and I. Tuna. 2006. The implications of accounting distortions and growth for accruals and profitability. Accounting Review 81 (3): 713–743.
Sadka, R. 2006. Momentum and postearnings-announcement drift anomalies: The role of liquidity risk. Journal of Financial Economics 80:309–349.
Sloan, R. G. 1996. Do stock prices fully reflect information in accruals and cash flows about future earnings? The Accounting Review 71 (3):289–315.
Smith, B. Mark. A history of the global stock market: from ancient Rome to Silicon Valley. University of Chicago press, 2004.
Subramanyam, K. R. Financial statement analysis. Eleventh edition. 2013. ISBN 978-0-07-811096-2.
Subramanyam KR, Venkatachalam M. Earnings, cash flows, and ex Post intrinsic value of equity. Account Rev 2007; 82: 457-81.
Teoh, T. J. Wong, and G. Rao. 1998. Are accruals during initial public offerings opportunistic? Review of Accounting Studies 3: 175–208.
Thomas, J. K., and H. Zhang. 2002. Inventory changes and future returns. Review of Accounting Studies 7 (1): 63–187.
Why some succeed. Fortune [online]. 1994, 130(9), 74-74 [cit. 2016-12-28]. ISSN 00158259.
Zacks, Leonard, ed. The handbook of equity market anomalies: translating market inefficiencies into effective investment strategies. Vol. 2. John Wiley & Sons, 2011.

Předběžná náplň práce

Pro investory, finanční instituace i ekonomy je důležité vědět, co způsobuje výkyvy cen akcií a jejich výnosy. Není to důležité jen proto, že investoři mohou rozpoznat pravou příčinu pohybů cen akcií, ale akcie a akciové trhy celkově jsou vnímány jako teploměry celé ekonomiky. Hypotéza efektivních trhů předpokládá, že akciové trhy jsou oceněny efektivně. Akruální anomálie je však příklad jedné z největších neefektivností na akciovém trhu. Cílem této diplomové práce je zkoumat, zda se akruální anomálie začala v nedávné době zmenšovat. Analyzujeme, zda zvětšující se počet institucionálních fondů obchodujících s využitím akruální anomálie, přítomnost cash flow odhadů a kvalita zisků, můžou být příčinou pro zmenšení efektu akruální anomálie. Robustní MM regrese je použita pro odhad toho, zda se efekt akruální anomálie zmírňuje. Analýza se soustředí na akciový trh Spojených států amerických. Pomocí estimací potvrzujeme, že se velikost akruální anomálie zmenšuje díky institucionálním fondům obchodujícím “na” tuto anomálii a také díky kvalitě reportovaných zisků pro sledované období od roku 1991 do 2015. Přítomnost cash flow odhadů, podle našich výsledků, nemá vliv na velikost akruální anomálie.

Předběžná náplň práce v anglickém jazyce

Understanding what drives stock returns is an essential question for investors, financial institutions, and economists. The question is important not only for individuals, but also for the overall economy, as forms of inefficiency such as bubbles can lead to stock market crashes that have a negative impact on the real economy itself. In contrast to the Efficient Markets Hypothesis, which posits that the stock market is efficient at correctly pricing stocks, the accrual anomaly is an example of one of the largest inefficiencies in the equity market. The aim of this thesis is to examine if the accrual anomaly has lessened in recent history. We analyze if the increasing trend of institutional funds trading on accrual mispricing, the increasing presence of cash flow forecasts, or earnings quality could be responsible for mitigating the accrual anomaly effect. A robust MM regression is used to assess the anomaly alleviation. The analysis focuses on the US stock market. We confirm the mitigation of accrual mispricing based on the increase in trading on the accrual anomaly and quality of earnings for the period from 1991 to 2015, but not the growing number of cash flow forecasts.