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The Accrual anomaly: An investigation on the Dutch stock market

Paul Hoefsloot. The Accrual anomaly: An investigation on the Dutch stock market Authors:Paul Hoefsloot.
Publisher:
Year:2012
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Pages:64
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Price:6559 rub.
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Book Summary:
This paper investigates the existence of the accrual anomaly on the Dutch stock market. It documents that there is statistical evidence to accept that the cash flow component of current earnings is significantly more persistent than the accrual component of current earnings with respect to future earnings. Applying a trading strategy this paper shows that a significant abnormal return can de made by constructing a portfolio consisting of firms with relatively low accruals. However, contrary to U.S. findings, a hedge return consisting of a long position in low accruals firms and a short position in high accruals firms (hedge portfolio) generates neither substantial nor statistically significant returns.

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