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    Testing the accruals anomaly based on the speed of price adjustment

    Access Status
    Fulltext not available
    Authors
    Choy, Siu Kai
    Lobo, Gerald J
    Tan, Yongxian
    Date
    2021
    Type
    Journal Article
    
    Metadata
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    Citation
    Choy, S.K. and Lobo, G.J. and Tan, Y. 2021. Testing the accruals anomaly based on the speed of price adjustment. The European Journal of Finance.
    Source Title
    The European Journal of Finance
    DOI
    10.1080/1351847X.2021.1998175
    ISSN
    1351-847X
    Faculty
    Faculty of Business and Law
    School
    School of Accounting, Economics and Finance
    URI
    http://hdl.handle.net/20.500.11937/89109
    Collection
    • Curtin Research Publications
    Abstract

    In this study, we investigate the nature of the accruals anomaly by analyzing the speed of price adjustment to accruals information. Consistent with the mispricing hypothesis, we find that a relatively larger proportion of accruals premium is distributed near the filing dates among low limits-to-arbitrage stocks and during periods of increased arbitrage activity. We also discuss our findings in the context of q-theory.

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