IDEAS home Printed from https://ideas.repec.org/a/wly/agribz/v31y2015i3p372-387.html
   My bibliography  Save this article

Accrual Anomaly for Agribusiness Stocks

Author

Listed:
  • Bruno R. Arthur
  • Ani L. Katchova

Abstract

ABSTRACT This study investigates whether the accrual anomaly documented by Sloan ( ) for the U.S. market stocks exists in the U.S. agribusiness stocks over 1971–2011. Our results for the U.S. agribusiness stocks concur with the results of Trejo‐Pech, Weldon, House, and Gunderson ( ) for the food supply chain stocks that the anomaly is explained by the high accrual portfolios rather than the fixation hypothesis. The accrual anomaly remains for agribusiness stocks even after accounting for the momentum factor with the four‐factor asset pricing model, and is more driven by the non‐food supply chain stocks than the food supply chain stocks. Our results from Fama and MacBeth ( ) regressions confirm that accruals are negatively related to future returns.

Suggested Citation

  • Bruno R. Arthur & Ani L. Katchova, 2015. "Accrual Anomaly for Agribusiness Stocks," Agribusiness, John Wiley & Sons, Ltd., vol. 31(3), pages 372-387, June.
    • Handle: RePEc:wly:agribz:v:31:y:2015:i:3:p:372-387
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1002/agr.21409
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Michael C. Jensen, 1968. "The Performance Of Mutual Funds In The Period 1945–1964," Journal of Finance, American Finance Association, vol. 23(2), pages 389-416, May.
    2. Doyle, Jeffrey & Ge, Weili & McVay, Sarah, 2007. "Determinants of weaknesses in internal control over financial reporting," Journal of Accounting and Economics, Elsevier, vol. 44(1-2), pages 193-223, September.
    3. Konan Chan & Louis K. C. Chan & Narasimhan Jegadeesh & Josef Lakonishok, 2006. "Earnings Quality and Stock Returns," The Journal of Business, University of Chicago Press, vol. 79(3), pages 1041-1082, May.
    4. Barber, Brad M. & Lyon, John D., 1997. "Detecting long-run abnormal stock returns: The empirical power and specification of test statistics," Journal of Financial Economics, Elsevier, vol. 43(3), pages 341-372, March.
    5. Carlos J. Trejo-Pech & Richard N. Weldon & Lisa A. House & Michael A. Gunderson, 2009. "The accrual anomaly financial problem in the food supply chain," Agribusiness, John Wiley & Sons, Ltd., vol. 25(4), pages 520-533.
    6. George J. Jiang & Andrew Jianzhong Zhang, 2013. "The Shrinking Space For Anomalies," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 36(3), pages 299-324, September.
    7. Basu, S, 1977. "Investment Performance of Common Stocks in Relation to Their Price-Earnings Ratios: A Test of the Efficient Market Hypothesis," Journal of Finance, American Finance Association, vol. 32(3), pages 663-682, June.
    8. Fama, Eugene F, 1973. "A Note on the Market Model and the Two-Parameter Model," Journal of Finance, American Finance Association, vol. 28(5), pages 1181-1185, December.
    9. Fama, Eugene F & MacBeth, James D, 1973. "Risk, Return, and Equilibrium: Empirical Tests," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 607-636, May-June.
    10. William F. Sharpe, 1963. "A Simplified Model for Portfolio Analysis," Management Science, INFORMS, vol. 9(2), pages 277-293, January.
    11. Gary S. Hansen & Birger Wernerfelt, 1989. "Determinants of firm performance: The relative importance of economic and organizational factors," Strategic Management Journal, Wiley Blackwell, vol. 10(5), pages 399-411, September.
    12. Dechow, Patricia M., 1994. "Accounting earnings and cash flows as measures of firm performance : The role of accounting accruals," Journal of Accounting and Economics, Elsevier, vol. 18(1), pages 3-42, July.
    13. Carhart, Mark M, 1997. "On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March.
    14. Ibbotson, Roger G., 1975. "Price performance of common stock new issues," Journal of Financial Economics, Elsevier, vol. 2(3), pages 235-272, September.
    15. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
    16. Alford, Andrew W. & Jones, Jennifer J. & Zmijewski, Mark E., 1994. "Extensions and violations of the statutory SEC form 10-K filing requirements," Journal of Accounting and Economics, Elsevier, vol. 17(1-2), pages 229-254, January.
    17. Mark T. Bradshaw & Scott A. Richardson & Richard G. Sloan, 2001. "Do Analysts and Auditors Use Information in Accruals?," Journal of Accounting Research, Wiley Blackwell, vol. 39(1), pages 45-74, June.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Fernando Rubio, 2005. "Eficiencia De Mercado, Administracion De Carteras De Fondos Y Behavioural Finance," Finance 0503028, University Library of Munich, Germany, revised 23 Jul 2005.
    2. Richardson, Scott & Tuna, Irem & Wysocki, Peter, 2010. "Accounting anomalies and fundamental analysis: A review of recent research advances," Journal of Accounting and Economics, Elsevier, vol. 50(2-3), pages 410-454, December.
    3. Carlos J.O. Trejo-Pech & Richard N. Weldon & Michael A. Gunderson, 2016. "Earnings Management through Specific Accruals and Discretionary Expenses: Evidence from U.S. Agribusiness Firms," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 64(1), pages 89-118, March.
    4. Jawad Mohammad & Attiya Yasmin Javid, 2015. "An Analysis of Accrual Anomaly in Case of Karachi Stock Exchange," PIDE-Working Papers 2015:116, Pakistan Institute of Development Economics.
    5. Fracasso, Laís Martins & Müller, Fernanda Maria & Ramos, Henrique Pinto & Righi, Marcelo Brutti, 2023. "Is there a risk premium? Evidence from thirteen measures," The Quarterly Review of Economics and Finance, Elsevier, vol. 92(C), pages 182-199.
    6. Amit Goyal, 2012. "Empirical cross-sectional asset pricing: a survey," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(1), pages 3-38, March.
    7. Zura Kakushadze, 2015. "Heterotic Risk Models," Papers 1508.04883, arXiv.org, revised Jan 2016.
    8. Zura Kakushadze & Willie Yu, 2016. "Statistical Risk Models," Papers 1602.08070, arXiv.org, revised Jan 2017.
    9. Arthur, Bruno R. & Katchova, Ani L., 2012. "Accruals Anomaly in Agriculture Financial Economics," 2012 Annual Meeting, February 4-7, 2012, Birmingham, Alabama 119822, Southern Agricultural Economics Association.
    10. Zura Kakushadze & Willie Yu, 2016. "Multifactor Risk Models and Heterotic CAPM," Papers 1602.04902, arXiv.org, revised Mar 2016.
    11. Turan G. Bali & Robert F. Engle & Yi Tang, 2017. "Dynamic Conditional Beta Is Alive and Well in the Cross Section of Daily Stock Returns," Management Science, INFORMS, vol. 63(11), pages 3760-3779, November.
    12. Ladislav Kristoufek & Paulo Ferreira, 2018. "Capital asset pricing model in Portugal: Evidence from fractal regressions," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 17(3), pages 173-183, November.
    13. J. Christian Ola & Eric Sartell, 2016. "Undercover Boss: Stripping Away the Disguise to Analyze the Financial Performance of Participating Firm," Business, Management and Economics Research, Academic Research Publishing Group, vol. 2(12), pages 186-192, 12-2016.
    14. Attiya Yasmeen Javid, 2000. "Alternative Capital Asset Pricing Models: A Review of Theory and Evidence," PIDE Research Report 2000:3, Pakistan Institute of Development Economics.
    15. Jiaju Miao & Pawel Polak, 2023. "Online Ensemble of Models for Optimal Predictive Performance with Applications to Sector Rotation Strategy," Papers 2304.09947, arXiv.org.
    16. Konan Chan & John W. Cooney & Joonghyuk Kim & Ajai K. Singh, 2008. "The IPO Derby: Are There Consistent Losers and Winners on This Track?," Financial Management, Financial Management Association International, vol. 37(1), pages 45-79, March.
    17. Kothari, S. P., 2001. "Capital markets research in accounting," Journal of Accounting and Economics, Elsevier, vol. 31(1-3), pages 105-231, September.
    18. Jan Bastin, 2015. "Volatility Effect: An Application on the German Stock Market [Efekt nízkého rizika: Aplikace na německý akciový trh]," Český finanční a účetní časopis, Prague University of Economics and Business, vol. 2015(1), pages 36-54.
    19. Hanauer, Matthias X. & Lauterbach, Jochim G., 2019. "The cross-section of emerging market stock returns," Emerging Markets Review, Elsevier, vol. 38(C), pages 265-286.
    20. Nicolau, Juan Luis & Sharma, Abhinav, 2022. "A review of research into drivers of firm value through event studies in tourism and hospitality: Launching the Annals of Tourism Research curated collection on drivers of firm value through event stu," Annals of Tourism Research, Elsevier, vol. 95(C).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wly:agribz:v:31:y:2015:i:3:p:372-387. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://onlinelibrary.wiley.com/journal/10.1002/(ISSN)1520-6297 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.