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Article: Predicting Stock Market Returns with Aggregate Discretionary Accruals

TitlePredicting Stock Market Returns with Aggregate Discretionary Accruals
Authors
Issue Date2010
PublisherBlackwell Publishing, Inc. The Journal's web site is located at http://www.blackwellpublishing.com/journals/JAR
Citation
Journal Of Accounting Research, 2010, v. 48 n. 4, p. 815-858 How to Cite?
AbstractWe find that the positive relation between aggregate accruals and one-year-ahead market returns documented in Hirshleifer, Hou, and Teoh [2009] is driven by discretionary accruals but not normal accruals. The return forecasting power of aggregate discretionary accruals is robust to choices of sample periods, return measurements, estimation methods, business condition and risk premium proxies, and accrual models used to isolate discretionary accruals. Our extensive analysis shows that aggregate discretionary accruals, in sharp contrast to aggregate normal accruals, contain little information about overall business conditions or aggregate cash flows and display little co-movement with ICAPM-motivated risk premium proxies. Our findings imply that aggregate discretionary accruals likely reflect aggregate fluctuations in earnings management, thereby favoring the behavioral explanation that managers time aggregate equity markets to report earnings. ©, University of Chicago on behalf of the Accounting Research Center, 2010.
Persistent Identifierhttp://hdl.handle.net/10722/177779
ISSN
2015 Impact Factor: 2.243
2015 SCImago Journal Rankings: 5.733
ISI Accession Number ID
References

 

DC FieldValueLanguage
dc.contributor.authorKang, Qen_US
dc.contributor.authorLiu, Qen_US
dc.contributor.authorQi, Ren_US
dc.date.accessioned2012-12-19T09:39:53Z-
dc.date.available2012-12-19T09:39:53Z-
dc.date.issued2010en_US
dc.identifier.citationJournal Of Accounting Research, 2010, v. 48 n. 4, p. 815-858en_US
dc.identifier.issn0021-8456en_US
dc.identifier.urihttp://hdl.handle.net/10722/177779-
dc.description.abstractWe find that the positive relation between aggregate accruals and one-year-ahead market returns documented in Hirshleifer, Hou, and Teoh [2009] is driven by discretionary accruals but not normal accruals. The return forecasting power of aggregate discretionary accruals is robust to choices of sample periods, return measurements, estimation methods, business condition and risk premium proxies, and accrual models used to isolate discretionary accruals. Our extensive analysis shows that aggregate discretionary accruals, in sharp contrast to aggregate normal accruals, contain little information about overall business conditions or aggregate cash flows and display little co-movement with ICAPM-motivated risk premium proxies. Our findings imply that aggregate discretionary accruals likely reflect aggregate fluctuations in earnings management, thereby favoring the behavioral explanation that managers time aggregate equity markets to report earnings. ©, University of Chicago on behalf of the Accounting Research Center, 2010.en_US
dc.languageengen_US
dc.publisherBlackwell Publishing, Inc. The Journal's web site is located at http://www.blackwellpublishing.com/journals/JARen_US
dc.relation.ispartofJournal of Accounting Researchen_US
dc.titlePredicting Stock Market Returns with Aggregate Discretionary Accrualsen_US
dc.typeArticleen_US
dc.identifier.emailLiu, Q: qliu@hku.hken_US
dc.identifier.authorityLiu, Q=rp01078en_US
dc.description.naturelink_to_subscribed_fulltexten_US
dc.identifier.doi10.1111/j.1475-679X.2010.00379.xen_US
dc.identifier.scopuseid_2-s2.0-77955152577en_US
dc.identifier.hkuros177111-
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-77955152577&selection=ref&src=s&origin=recordpageen_US
dc.identifier.volume48en_US
dc.identifier.issue4en_US
dc.identifier.spage815en_US
dc.identifier.epage858en_US
dc.identifier.isiWOS:000279903900003-
dc.publisher.placeUnited Statesen_US
dc.identifier.scopusauthoridKang, Q=24484765900en_US
dc.identifier.scopusauthoridLiu, Q=55429572300en_US
dc.identifier.scopusauthoridQi, R=23091949700en_US
dc.identifier.citeulike7508878-

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