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Conference Paper: Predicting stock market return with aggregate (discretionary) accruals

TitlePredicting stock market return with aggregate (discretionary) accruals
Authors
Keywordsaggregate discretionary accruals
time-varying risk premium
predictive regressions
managerial market timing
Issue Date2006
PublisherEuropean Finance Association
Citation
The 33rd European Finance Association Annual Meeting, Zurich, Switzerland, 23-26 August 2006 How to Cite?
AbstractWe document that the value-weighted aggregate discretionary accruals have significant power in predicting the one-year-ahead stock market returns between 1965 and 2004. The predictive relation is stable and robust to different ways to measure market returns and discretionary accruals as well as to the inclusion of other known return predictors. The value-weighted aggregate discretionary accruals are positively related to future stock market returns and negatively correlated with contemporaneous market returns. Our extensive analysis favors the managerial equity market timing story and suggests that managers of large firms have stronger market timing ability than managers of small firms.
Persistent Identifierhttp://hdl.handle.net/10722/114945
SSRN

 

DC FieldValueLanguage
dc.contributor.authorKang, Qen_HK
dc.contributor.authorLiu, Qen_HK
dc.contributor.authorQi, Ren_HK
dc.date.accessioned2010-09-26T05:23:06Z-
dc.date.available2010-09-26T05:23:06Z-
dc.date.issued2006en_HK
dc.identifier.citationThe 33rd European Finance Association Annual Meeting, Zurich, Switzerland, 23-26 August 2006-
dc.identifier.urihttp://hdl.handle.net/10722/114945-
dc.description.abstractWe document that the value-weighted aggregate discretionary accruals have significant power in predicting the one-year-ahead stock market returns between 1965 and 2004. The predictive relation is stable and robust to different ways to measure market returns and discretionary accruals as well as to the inclusion of other known return predictors. The value-weighted aggregate discretionary accruals are positively related to future stock market returns and negatively correlated with contemporaneous market returns. Our extensive analysis favors the managerial equity market timing story and suggests that managers of large firms have stronger market timing ability than managers of small firms.-
dc.languageengen_HK
dc.publisherEuropean Finance Association-
dc.relation.ispartofEuropean Finance Association Annual Meetingen_HK
dc.subjectaggregate discretionary accruals-
dc.subjecttime-varying risk premium-
dc.subjectpredictive regressions-
dc.subjectmanagerial market timing-
dc.titlePredicting stock market return with aggregate (discretionary) accrualsen_HK
dc.typeConference_Paperen_HK
dc.identifier.emailLiu, Q: qliu@hku.hken_HK
dc.identifier.authorityLiu, Q=rp01078en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.2139/ssrn.890685-
dc.identifier.hkuros130419en_HK
dc.identifier.ssrn890685-

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