Georgios A. Papanastasopoulos
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The accrual anomaly in the Greek stock market
Georgios A. Papanastasopoulos , Andreas I. Tsalas , Dimitrios D. Thomakos doi: http://dx.doi.org/10.21511/imfi.13(2-2).2016.07Investment Management and Financial Innovations Volume 13, 2016 Issue #2 (cont. 2) pp. 322-333
Views: 1021 Downloads: 234 TO CITEThe authors examine the negative relation of traditional accruals and % accruals with future returns in the Greek stock market. Positive abnormal returns from hedge portfolios on both accrual measures summarize the economic significance of this negative relation. The magnitude of returns obtained from traditional accruals is higher than that obtained from % accruals, contrary to existing evidence from the U.S. capital market. The analysis suggests that the accrual anomaly appears to be present in the Greek stock market: this has macroeconomic implications because firms with low reported accruals may exhibit higher stock returns and at this time, during the ongoing Greek capital market crisis, investors are more likely to gain substantial abnormal returns in the future – if and when the Greek economy returns to positive growth