The Compare of Excess Returns of Portfolio Based on Traditional Accruals and Percent Accruals

Document Type : Research Paper

Authors

1 Associate Prof of Accounting, Imam Khomeini International University, Qazvin, Iran

2 Msc in Accounting, Imam Khomeini International University, Qazvin, Iran

Abstract

Investors using many Strategies in select portfolio. One of this Strategies is accruals. Operating accruals and Total accruals are two measures of Accruals. This measures are calculated in two ways, cash flow method and balance sheet method. So far in cash flow method and balance sheet method, accruals to enter in experimental models scaled by average total assets. In this study propose a small change in the definition of accruals. instead of scaling accruals by average total assets, this scale by earnings (NOI or NI). We label this definition of accruals as “percent accruals”. The percent accruals measure differs most from traditional accruals measure. This seemingly simple change in the definition of accruals produces a radically different sort of the data and yield larger excess returns. This study first investigate excess return in low and high portfolio at one of strategies and then investigate the using traditional and percent accruals in select portfolio. The study sample consisted of 158 companies listed on the Tehran Stock Exchange. The period of study is 2002 to 2011. Researching results show that only at percent total accrual, excess return in low portfolio is better than high portfolio. Results show excess return only in low portfolio of percent total accrual better than low portfolio of traditional total accrual

Keywords

References

آر. کینیر، پ.؛ گری، ک. (1381). کتاب آموزشی SPSS10، مترجم فتوحی اردکانی، ا. تهران: انتشارات شایگان.##
اسلامی بیدگلی، غ.؛ سارنج، ع. (1387). انتخاب پرتفوی با استفاده از سه معیار میانگین بازدهی، انحراف معیار بازدهی و نقدشوندگی در بورس اوراق بهادار تهران. بررسی­های حسابداری و حسابرسی، 15 (53): 16-3.##
خواجوی، ش.، ناظمی، ا. (1384). نقش اقلام تعهدی در تشریح و تحلیل کیفیت سود. بررسی­های حسابداری و حسابرسی،  (40): 40-25.##
رسائیان، ا.؛ حسینی، ا. (1387). رابطه کیفیت اقلام تعهدی و هزینه سرمایه در ایران، بررسی­های حسابداری و حسابرسی، 15 (53): 82-67.##
فخاری، ح.؛ تقوی، ر. (1388). کیفیت اقلام تعهدی و مانده وجه نقد. بررسی­های حسابداری و حسابرسی، (57): 84-69.##
قائمی، م.؛ لیوانی، ع.؛ ده­بزرگی، س. (1387). کیفیت سود و بازده سهام شرکت­ها. بررسی­های حسابداری و حسابرسی، 15 (52): 88-71.##
نوروش، ا، ناظمی، ا، حیدری، م. (1385). کیفیت اقلام تعهدی و سود با تأکید بر نقش خطای برآورد اقلام تعهدی، بررسی­های حسابداری و حسابرسی، 13 (43): 160-135.##
Balsam, S., Krishnan, J. and Yang, J. (2003). Auditor industry specializations and earning quality. Auditing, 22(2): 71-97.##
Barber, B., Lyon, J. and Tsai, C. (1999). Improved methods for tests of long-run abnormal stock returns. The Journal of Finance, 54 (2): 165–201.##
Battalio, R., Lerman, A., Livanat, J., Mendengall, R. (2012). Who, if anyone, react to accrual hnformation?, Journal of Accounting and Economics, 53(1-2):205-224. ##
Cheng, C.S., Hollie, D .(2008). Do core and non-core cash flow from operations persist Differentially in predicting future cash flows? Rev Quant Finan Acc, 31(1):29-53.##
Cohen, D. & Lys, T. (2006). Weighing the evidence on the relation between external corporate financing activities, accruals and stock returns. Journal of Accounting and Economics, 42(1-2): 87–105.##
Dechow, M. P., Ge, W. (2006). The persistence of earnings and cash flows and the role of special items: implications for the accrual anomaly.Review Accounting Studies, 11(7): 253-296.##
Dechow, P. and Dechow, I. (2002). The quality of accruals and earnings: the role of accrual estimation errors. The accounting review, 77(Supplement): 35-59.##
Dopuch, N., Seethamraju, C., Xu, W. (2010). The pricing of accruals for profit and loss firms. Review of Quantitative Finance and Accounting, 34 (4): 505-516.##
Fairfield, P.M., Whisenant, S., Lombardi Yohn, T. (2003). Accrued earnings and growth: implications for future profitability and market mispricing, the accounting review,78 (1): 353-371.##
Finger C. A. (1994). the Ability of Earnings to Predict Future Earnings and Cash Flow”, Journal of Accounting Research, 32(2): 210-23.##
Hafzalla, N., Lundholm, R., Van Winkel, M. (2011). Percent accruals, The accounting Review, 86(1): 209-236.##
Hardouvelis, G., Papanastasopoulos, G., Thomakos, D. and Wang, T. (2010). External financing, growth and stock returns. European Financial Management, 18 (5): 790-815.##
Kewei, How. (2007). The accrual anomaly: risk or mispricing? www.erim.eur.nl/events.##
Myers, J., Myers, L. and Omer, T. (2003). Exploring the term of the auditor-client relationship and the quality of earnings: Acase of mandatory auditor rotation?. The accounting Review, 78 (3): 779-799.##
Neill, J.D., Schaefer, T.F., Bahnson, P.R. and Bradbury, M.E. (1991). The usefulness of cash flow data: a review and synthesis. Journal of Accounting Literature, 10 (2):117-150.##
Papanastasopoulos, G., Thomakos, D., Wang, T. (2011). Accruals and the Performance of Stock Returns Following External Financing Activities. The British Accounting Review, 43 (3): 214-229.##
Richardson, S., Sloan, R., Soliman, M. and Tuna, I. (2005). Accrual reliability, earnings persistence and stock prices. Journal of Accounting and Economics,39 (3):437–485.##
Shi, L. and Zhang, H. (2007). Can the earnings fixation hypothesis explain the accrual anomaly?. Review of Accounting Studies,17(1):1-21.##
Sloan, R. (1996). Do stock prices fully reflect information in accruals and cash flows about future earnings? The Accounting Review, 71(3): 289-315.##
Teoh, S.H, Welch, I. and Wong, T. (1998). Earnings management and the long run market performance of initial public offering. The journal of finance, 53 (6):1935-1974.##
Xu, R. Z., Lacina, M.J. (2009). Explaining the accrual anomaly by market expectations of future returns and earnings, Advances in Accounting. Incorporating Advances in International Accounting, 25 (2):190-199.##
 
Accounting and Auditing Review
Volume 20, Issue 3 - Serial Number 3
December 2013
Pages 101-123

Files

Share

How to cite

Statistics