ANOMALI PASAR BERBASIS EARNINGS DAN PERSISTENSI ABNORMAL AKRUAL

RATMONO, Dwi and CAHYONOWATI, Nur (2005) ANOMALI PASAR BERBASIS EARNINGS DAN PERSISTENSI ABNORMAL AKRUAL. In: Simposium Nasional Akuntansi VIII (SNA 8), 15 - 16 September 2005, Universitas Sebelas Maret, Surakarta.

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Abstract

This paper investigates whether mispricing of total accrual is due to largerly to abnormal accrual. This paper used Jones and modified-Jones model-estimated abnormal accrual to test whether stock prices rationally reflect the one-year-ahead earnings. The data comprise earnings from 1999-2002 and accrual and cash flows components of earnings from 1998-2001. OLS regression and Iterative Non Linear Generalized Least Squares is utilized to test the hypothesis. The results show that the cash flow component of earnings is more persistent than the normal accrual component, and the normal accrual component is more persistent than the abnormal accrual component. The Miskhin test results indicate that the market overprice cashflow and both normal and abnormal accrual. This paper controls for major unusual accrual and non-articulation events when estimating abnormal accrual and find that market overprice abnormal accrual. Thus the finding is consistent with the market overpricing of abnormal accrual stemming from managerial discretion. Key Words: abnormal accrual, cash flow, earnings, market efficiency, earnings management

Item Type:Conference or Workshop Item (Paper)
Subjects:H Social Sciences > HF Commerce > HF5601 Accounting
Divisions:Faculty of Economics and Business > Department of Accounting
ID Code:15218
Deposited By:Mr. Perpustakaan Fakultas Ekonomi
Deposited On:25 Jun 2010 09:01
Last Modified:25 Jun 2010 09:01

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