Mapping the Accrual Anomaly in the Dutch Stock Market
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| Title | Mapping the Accrual Anomaly in the Dutch Stock Market |
| Authors | |
| Abstract | This paper investigates the existence of the accrual anomaly on the Dutch stock market. We find statistical evidence to accept that the cash flow component of current earnings is significantly more persistent than the accrual component of current earnings. When applying a trading strategy a significant abnormal return can be 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. |
| Publisher | World Science Publisher |
| Date | 2012-01-25 |
| Source | 2167-6348 |
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