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The Link of Abnormal Accrual Mispricing and Value- Glamour Stock Anomaly: Evidence from the Indonesian Capital Market
Gadjah Mada International Journal of Business
View Archive Info| Field | Value | |
| Title |
The Link of Abnormal Accrual Mispricing and Value- Glamour Stock Anomaly: Evidence from the Indonesian Capital Market
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| Creator |
Ekawati, Erni
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| Description |
The purpose of this study is to investigate whether abnormal accrual mispricing acknowledged in accounting literature is a manifestation of documented value-glamour anomaly in finance literature. This study proposes the traditional value-glamour proxies (sales growth, book-to-market, earningprice, cash flows-price, and size) and CFO/P ratio (ratio of operating cash flows and stock price) to explain the mispricing of abnormal accruals. Using a sample of 540 firm-year observations of companies listed on the Jakarta Stock Exchange (JSE) from the period of 1993 to 2003, the study finds that individually, only either the E/P or CFO/P ratio can pick up the mispricing attributed to abnormal accruals. These results can be interpreted as follows: (1) as captured by E/P ratio, abnormal accrual mispricing is due to the market’s inability to understand managers’ attempts to manage reported earnings; (2) as captured by the CFO/P, the market is unable to assess the persistence of cash flows. From a practical standpoint, this study has simplified the research agenda related to asset pricing. The result suggests that a researcher can control for the abnormal accrual mispricing and the value-glamour anomaly parsimoniously via just one variable, E/P ratio.Keywords: business performance; entrepreneurial orientation; environmental uncertainty
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| Publisher |
Master in Management, Faculty of Economics and Business, Universitas Gadjah Mada
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| Date |
2012-01-01
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article |
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| Format |
application/pdf
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| Identifier |
https://jurnal.ugm.ac.id/gamaijb/article/view/5438
10.22146/gamaijb.5438 |
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| Source |
Gadjah Mada International Journal of Business; Vol 14, No 1 (2012): January - April; 77 - 96
2338-7238 1411-1128 |
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| Language |
eng
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| Relation |
https://jurnal.ugm.ac.id/gamaijb/article/view/5438/4418
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