Abnormal Accrual, Informed Trader, and Long-Term Stock Return: Evidence from Japan

Katsuhiko Muramiya, Kazuhisa Otogawa and Tomomi Takada
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Kazuhisa Otogawa: Graduate School of Economics, Kobe University, Japan
Tomomi Takada: Graduate School of Economics, Kobe University, Japan

No 233, Discussion Paper Series from Research Institute for Economics & Business Administration, Kobe University

Abstract: This study examines the association among abnormal accruals, long-term stock returns, and probability of informed trading. Some analytical and empirical research for postearnings announcement drift provide evidence that a high arrival rate of informed traders helps stock prices become more efficient. We focus on the abnormal accrual anomaly, and investigate these studies' implications using data from the Tokyo Stock Exchange in Japan. Consistent with these studies, we show that stocks with a high probability of informed trading exhibit less abnormal accrual mispricing relative to stocks with a low probability of informed trading.

Keywords: Abnormal accruals; Market microstructure; High-frequency data; Informed trader (search for similar items in EconPapers)
JEL-codes: G15 M41 (search for similar items in EconPapers)
Pages: 38 pages
Date: 2008-12
New Economics Papers: this item is included in nep-mst
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