Who, if anyone, reacts to accrual information?

• 成果类型: Article
• 署名作者: Battalio, Robert H.; Lerman, Alina; Livnat, Joshua; Mendenhall, Richard R.
• 署名单位: Yale University; New York University; University of Notre Dame
• 刊物名称: JOURNAL OF ACCOUNTING & ECONOMICS
• ISSN/ISSBN: 0165-4101
• DOI: 10.1016/j.jacceco.2011.06.007
• 发表日期: 2012
• 关键词: inferring trade direction; FULLY REFLECT; stock-prices; earnings; size; analysts; COSTS; news

摘要

We show that the vast majority of investors ignore value-relevant accruals information when it is first released, but that investors who initiate trades of at least 5,000 shares tend to transact in the proper direction. These investors trade on accruals information only when the previously-announced earnings signal is non-negative. Unconditionally, those investors initiating the smallest trades appear to respond to accruals in the wrong direction, but further investigation suggests this behavior is explained by their attraction to attention-grabbing stocks. Finally, we find that those who trade on accruals information have insufficient market power to mitigate the accruals anomaly. (C) 2011 Elsevier B.V. All rights reserved.