The accrual anomaly: Evidence from Borsa Istanbul

Nasif Ozkan and Mustafa Mesut Kayali

Borsa Istanbul Review, 2015, vol. 15, issue 2, 115-125

Abstract: In this study, we seek to answer whether stock prices fully reflect information in accruals and cash flows about future earnings. Following prior research, we perform Mishkin test and hedge portfolio analysis. The results based on full sample do not indicate mispricing in the components of earnings on Borsa Istanbul. When we exclude loss firms from the full sample, mispricing of total accruals and its components, and thus the presence of accrual anomaly on Borsa Istanbul, is revealed. Using trading strategy based on total accruals of profit firms, investors may generate abnormal returns of 18.58%. These results may suggest that Borsa Istanbul is not efficient in semi-strong form.

Keywords: Earnings components; Accrual anomaly; Profit firms; Borsa Istanbul (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 M41 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:bor:bistre:v:15:y:2015:i:2:p:115-125

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