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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.
Kontrola URKUND:
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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.
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