The accrual anomaly: Evidence from Borsa Istanbul

The accrual anomaly: Evidence from Borsa Istanbul

In this study, we seek to answer whether stock prices fully reflect information in accruals and cash flows about future earnings. Following prior research, we perform Mishkin test and hedge portfolio analysis. The results based on full sample do not indicate mispricing in the components of earnings...

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Bibliographic Details
Main Authors: Nasif Ozkan, Mustafa Mesut Kayali
Format: Article
Language:English
Published: Elsevier 2015-06-01
Series:Borsa Istanbul Review
Subjects:
Earnings components
Accrual anomaly
Profit firms
Borsa Istanbul
Online Access:http://www.sciencedirect.com/science/article/pii/S2214845015000101
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spelling doaj-91326f5037564f5ea0c50d655be963792020-11-24T20:55:11ZengElsevierBorsa Istanbul Review2214-84502015-06-0115211512510.1016/j.bir.2015.01.002The accrual anomaly: Evidence from Borsa IstanbulNasif Ozkan0Mustafa Mesut Kayali1Dumlupinar University, School of Applied Sciences, Department of Banking and Finance, Kutahya, TurkeyDumlupinar University, Faculty of Economics and Administrative Sciences, Department of Business Administration, Kutahya, TurkeyIn this study, we seek to answer whether stock prices fully reflect information in accruals and cash flows about future earnings. Following prior research, we perform Mishkin test and hedge portfolio analysis. The results based on full sample do not indicate mispricing in the components of earnings on Borsa Istanbul. When we exclude loss firms from the full sample, mispricing of total accruals and its components, and thus the presence of accrual anomaly on Borsa Istanbul, is revealed. Using trading strategy based on total accruals of profit firms, investors may generate abnormal returns of 18.58%. These results may suggest that Borsa Istanbul is not efficient in semi-strong form.http://www.sciencedirect.com/science/article/pii/S2214845015000101Earnings componentsAccrual anomalyProfit firmsBorsa Istanbul
collection DOAJ
language English
format Article
sources DOAJ
author Nasif Ozkan
Mustafa Mesut Kayali
spellingShingle Nasif Ozkan
Mustafa Mesut Kayali
The accrual anomaly: Evidence from Borsa Istanbul
Borsa Istanbul Review
Earnings components
Accrual anomaly
Profit firms
Borsa Istanbul
author_facet Nasif Ozkan
Mustafa Mesut Kayali
author_sort Nasif Ozkan
title The accrual anomaly: Evidence from Borsa Istanbul
title_short The accrual anomaly: Evidence from Borsa Istanbul
title_full The accrual anomaly: Evidence from Borsa Istanbul
title_fullStr The accrual anomaly: Evidence from Borsa Istanbul
title_full_unstemmed The accrual anomaly: Evidence from Borsa Istanbul
title_sort accrual anomaly: evidence from borsa istanbul
publisher Elsevier
series Borsa Istanbul Review
issn 2214-8450
publishDate 2015-06-01
description In this study, we seek to answer whether stock prices fully reflect information in accruals and cash flows about future earnings. Following prior research, we perform Mishkin test and hedge portfolio analysis. The results based on full sample do not indicate mispricing in the components of earnings on Borsa Istanbul. When we exclude loss firms from the full sample, mispricing of total accruals and its components, and thus the presence of accrual anomaly on Borsa Istanbul, is revealed. Using trading strategy based on total accruals of profit firms, investors may generate abnormal returns of 18.58%. These results may suggest that Borsa Istanbul is not efficient in semi-strong form.
topic Earnings components
Accrual anomaly
Profit firms
Borsa Istanbul
url http://www.sciencedirect.com/science/article/pii/S2214845015000101
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AT mustafamesutkayali theaccrualanomalyevidencefromborsaistanbul
AT nasifozkan accrualanomalyevidencefromborsaistanbul
AT mustafamesutkayali accrualanomalyevidencefromborsaistanbul
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