The Accrual anomaly

Paul Hoefsloot

ISBN 10: 3848440180 / ISBN 13: 9783848440184

Published by LAP LAMBERT Academic Publishing Apr 2012, 2012

About this Item

Neuware -This paper investigates the existence of the accrual anomaly on the Dutch stock market. It documents that there is statistical evidence to accept that the cash flow component of current earnings is significantly more persistent than the accrual component of current earnings with respect to future earnings. Applying a trading strategy this paper shows that a significant abnormal return can de made by constructing a portfolio consisting of firms with relatively low accruals. However, contrary to U.S. findings, a hedge return consisting of a long position in low accruals firms and a short position in high accruals firms (hedge portfolio) generates neither substantial nor statistically significant returns.Books on Demand GmbH, Überseering 33, 22297 Hamburg 64 pp. Englisch.

Seller Inventory # 9783848440184

Bibliographic Details

• Title: The Accrual anomaly
• Publisher: LAP LAMBERT Academic Publishing Apr 2012
• Publication Date: 2012
• Language: English
• ISBN 10: 3848440180
• ISBN 13: 9783848440184
• Binding: Taschenbuch
• Condition: Neu
• Dimensions: 220W x 150H x 4D millimeters 220 millimeters width by 150 millimeters height by 4 millimeters depth
• Weight: 113 grams

About this title

Synopsis

This paper investigates the existence of the accrual anomaly on the Dutch stock market. It documents that there is statistical evidence to accept that the cash flow component of current earnings is significantly more persistent than the accrual component of current earnings with respect to future earnings. Applying a trading strategy this paper shows that a significant abnormal return can de made by constructing a portfolio consisting of firms with relatively low accruals. However, contrary to U.S. findings, a hedge return consisting of a long position in low accruals firms and a short position in high accruals firms (hedge portfolio) generates neither substantial nor statistically significant returns.

About the Author

Paul Hoefsloot investigated the existence of the accrual anomaly on the Dutch stock market during his final Master year on the University of Amsterdam. Currently Paul Hoefsloot is an entrepreneur and analyst at J.P. Haarlem (logistics) and Prima Huren (real estate) in the Netherlands.