Asymmetric Persistence and Market Pricing of Accruals and Cash Flows

Document Type : Research Paper

Authors

1 Professor of Accounting, non-profit univedity of Damavan Ershad, Tehran, Iran

2 MSc. student of Accounting, non-profit univedity of Damavan Ershad, Tehran, Iran

Abstract

The main objective of the research is to examine the asymmetric persistence and market pricing of accruals and cash flows in firms listed to Tehran Stock Exchange. The research method is post-event type and the statistical population of the research is firms listed in Tehran Stock Exchange during the period from 2009 to 2016. To analyze data, the linear regression model (data panel) is used. The results show that, at the economic loss, expected returns can not reflect the profit accruals persistence. Also, at the economic loss, expected returns can not reflect the cash profit components persistence, in other words, the research hypotheses are not rejected for market inefficiency and this study is useful for understanding the anomaly accruals in relation to the accruals dynamics, as well as for researchers interested in the MT framework to test the rationality of more general investor expectations. 

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References

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History

  • Receive Date: 07 October 2017
  • Revise Date: 26 October 2018
  • Accept Date: 29 October 2018

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