Information Asymmetry and the Accrual Anomaly

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This study investigates the association between information asymmetry and the accrual anomaly. Prior literature argues that earnings management is pronounced among firms with high information asymmetry and that earnings management is the main phenomenon behind the accrual anomaly. Using 43205 firm-year observations from the CRSP/Compustat Merged (CCM) universe spanning 1975-2012, we provide empirical evidence that the accrual anomaly is generally concentrated in firms with higher information asymmetry. Additional analysis reveals that, investors' greater overestimation mainly takes a place in firms with negative accruals, rather than positive accruals, due to investors' risk-aversion tendencies.
Publisher
WILEY-BLACKWELL
Issue Date
2018-09
Language
English
Article Type
Article
Keywords

EARNINGS ANNOUNCEMENTS; STOCK-PRICES; MARKET ANOMALIES; FUTURE EARNINGS; FULLY REFLECT; RETURNS; RISK; PERSISTENCE; TESTS; LIQUIDITY

Citation

ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, v.47, no.4, pp.571 - 597

ISSN
2041-9945
DOI
10.1111/ajfs.12225
URI
http://hdl.handle.net/10203/245909
Appears in Collection
MT-Journal Papers(저널논문)
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