Delisting returns and their effect on accounting-based market anomalies

• 成果类型: Article
• 署名作者: Beaver, William; McNichols, Maureen; Price, Richard
• 署名单位: Stanford University; Rice University
• 刊物名称: JOURNAL OF ACCOUNTING & ECONOMICS
• ISSN/ISSBN: 0165-4101
• DOI: 10.1016/j.jacceco.2006.12.002
• 发表日期: 2007
• 关键词: FULLY REFLECT; stock-prices; earnings; INFORMATION; accruals; winners; tests; BIAS

摘要

We show that tests of market efficiency are sensitive to the inclusion of delisting firm-years. When included, trading strategy returns based on anomaly variables can increase (for strategies based on earnings, cash flows and the book-to-market ratio) or decrease (for a strategy based on accruals). This is due to the disproportionate number of delisting firm-years in the lowest decile of these variables. Delisting firm-years are most often excluded because the researcher does not correctly incorporate delisting returns, because delisting return data are missing or because other research design choices implicitly exclude them. (c) 2007 Elsevier B.V. All rights reserved.