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Article: Do We Accept Accrual Profits at Our Peril?

TitleDo We Accept Accrual Profits at Our Peril?
Authors
KeywordsPortfolio Management
Equity Strategies
Equity Investments
Fundamental Analysis and Valuation Models
Financial Statement Analysis
Issue Date2006
PublisherCFA Institute. The Journal's web site is located at http://www.aimrpubs.org/faj/home.html
Citation
Financial Analysts Journal, 2006, v. 62, p. 62-75 How to Cite?
AbstractThe study described documented evidence that informed traders use their proprietary information on accrual quality to trade against average investors. The informed traders' arbitrage strategy generated annualized abnormal returns adjusted by size and book-to-market value of 19.8 percent over the 1993-2002 period. The accrual profits were still significant after trading costs were subtracted. The findings suggest that (1) informed traders' profits from accruals-based strategies derive mainly from their costly information on accrual quality and (2) the persistence of the 'accrual anomaly' may be driven by nondiversifiable information risk. The study suggests a strategy for uninformed traders to overcome the information barrier by mimicking informed traders.
Persistent Identifierhttp://hdl.handle.net/10722/85574
ISSN
2015 Impact Factor: 0.981
2015 SCImago Journal Rankings: 1.206
SSRN

 

DC FieldValueLanguage
dc.contributor.authorLiu, Qen_HK
dc.contributor.authorQi, Ren_HK
dc.date.accessioned2010-09-06T09:06:44Z-
dc.date.available2010-09-06T09:06:44Z-
dc.date.issued2006en_HK
dc.identifier.citationFinancial Analysts Journal, 2006, v. 62, p. 62-75en_HK
dc.identifier.issn0015-198Xen_HK
dc.identifier.urihttp://hdl.handle.net/10722/85574-
dc.description.abstractThe study described documented evidence that informed traders use their proprietary information on accrual quality to trade against average investors. The informed traders' arbitrage strategy generated annualized abnormal returns adjusted by size and book-to-market value of 19.8 percent over the 1993-2002 period. The accrual profits were still significant after trading costs were subtracted. The findings suggest that (1) informed traders' profits from accruals-based strategies derive mainly from their costly information on accrual quality and (2) the persistence of the 'accrual anomaly' may be driven by nondiversifiable information risk. The study suggests a strategy for uninformed traders to overcome the information barrier by mimicking informed traders.-
dc.languageengen_HK
dc.publisherCFA Institute. The Journal's web site is located at http://www.aimrpubs.org/faj/home.htmlen_HK
dc.relation.ispartofFinancial Analysts Journalen_HK
dc.subjectPortfolio Management-
dc.subjectEquity Strategies-
dc.subjectEquity Investments-
dc.subjectFundamental Analysis and Valuation Models-
dc.subjectFinancial Statement Analysis-
dc.titleDo We Accept Accrual Profits at Our Peril?en_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0015-198X&volume=62&spage=62&epage=75&date=2006&atitle=Do+We+Accept+Accruals+Profits+At+Our+Peril?en_HK
dc.identifier.emailLiu, Q: qliu@hku.hken_HK
dc.identifier.authorityLiu, Q=rp01078en_HK
dc.identifier.hkuros115527en_HK
dc.identifier.volume62-
dc.identifier.spage62-
dc.identifier.epage75-
dc.publisher.placeUnited States-
dc.identifier.ssrn922304-

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