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Delisting returns and their effect on accounting-based market anomalies

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  • Beaver, William
  • McNichols, Maureen
  • Price, Richard
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Accounting and Economics.

    Volume (Year): 43 (2007)
    Issue (Month): 2-3 (July)
    Pages: 341-368

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    Handle: RePEc:eee:jaecon:v:43:y:2007:i:2-3:p:341-368

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    Web page: http://www.elsevier.com/locate/jae

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    1. Kothari, S. P. & Sabino, Jowell S. & Zach, Tzachi, 2005. "Implications of survival and data trimming for tests of market efficiency," Journal of Accounting and Economics, Elsevier, vol. 39(1), pages 129-161, February.
    2. Josef Lakonishok & Robert W. Vishny & Andrei Shleifer, 1993. "Contrarian Investment, Extrapolation, and Risk," NBER Working Papers 4360, National Bureau of Economic Research, Inc.
    3. Jegadeesh, Narasimhan & Titman, Sheridan, 1993. " Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency," Journal of Finance, American Finance Association, vol. 48(1), pages 65-91, March.
    4. Tyler Shumway & Vincent A. Warther, 1999. "The Delisting Bias in CRSP's Nasdaq Data and Its Implications for the Size Effect," Journal of Finance, American Finance Association, vol. 54(6), pages 2361-2379, December.
    5. Shumway, Tyler, 1997. " The Delisting Bias in CRSP Data," Journal of Finance, American Finance Association, vol. 52(1), pages 327-40, March.
    6. Barber, Brad M. & Lyon, John D., 1997. "Detecting long-run abnormal stock returns: The empirical power and specification of test statistics," Journal of Financial Economics, Elsevier, vol. 43(3), pages 341-372, March.
    7. Edward I. Altman, 1968. "Financial Ratios, Discriminant Analysis And The Prediction Of Corporate Bankruptcy," Journal of Finance, American Finance Association, vol. 23(4), pages 589-609, 09.
    8. Collins, Daniel W. & Hribar, Paul, 2000. "Earnings-based and accrual-based market anomalies: one effect or two?," Journal of Accounting and Economics, Elsevier, vol. 29(1), pages 101-123, February.
    9. Mashruwala, Christina & Rajgopal, Shivaram & Shevlin, Terry, 2006. "Why is the accrual anomaly not arbitraged away? The role of idiosyncratic risk and transaction costs," Journal of Accounting and Economics, Elsevier, vol. 42(1-2), pages 3-33, October.
    10. Paul Hribar, 2002. "Errors in Estimating Accruals: Implications for Empirical Research," Journal of Accounting Research, Wiley Blackwell, vol. 40(1), pages 105-134, 03.
    11. Bernard, Victor L. & Thomas, Jacob K., 1990. "Evidence that stock prices do not fully reflect the implications of current earnings for future earnings," Journal of Accounting and Economics, Elsevier, vol. 13(4), pages 305-340, December.
    12. Arthur Kraft & Andrew J. Leone & Charles Wasley, 2006. "An Analysis of the Theories and Explanations Offered for the Mispricing of Accruals and Accrual Components," Journal of Accounting Research, Wiley Blackwell, vol. 44(2), pages 297-339, 05.
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    Cited by:
    1. Files, Rebecca, 2012. "SEC enforcement: Does forthright disclosure and cooperation really matter?," Journal of Accounting and Economics, Elsevier, vol. 53(1), pages 353-374.
    2. Konchitchki, Yaniv, 2011. "Inflation and Nominal Financial Reporting: Implications for Performance and Stock Prices," MPRA Paper 52928, University Library of Munich, Germany.
    3. Aníbal Báez-Díaz & Pervaiz Alam, 2013. "Tax conformity of earnings and the pricing of accruals," Review of Quantitative Finance and Accounting, Springer, vol. 40(3), pages 509-538, April.
    4. Venter, Elmar R. & Cahan, Steven F. & Emanuel, David, 2013. "Mandatory Earnings Disaggregation and the Persistence and Pricing of Earnings Components," The International Journal of Accounting, Elsevier, vol. 48(1), pages 26-53.
    5. Balakrishnan, Karthik & Bartov, Eli & Faurel, Lucile, 2010. "Post loss/profit announcement drift," Journal of Accounting and Economics, Elsevier, vol. 50(1), pages 20-41, May.
    6. So, Eric C., 2013. "A new approach to predicting analyst forecast errors: Do investors overweight analyst forecasts?," Journal of Financial Economics, Elsevier, vol. 108(3), pages 615-640.
    7. Konchitchki, Yaniv, 2013. "Accounting and the Macroeconomy: The Case of Aggregate Price-Level Effects on Individual Stocks," MPRA Paper 52934, University Library of Munich, Germany.

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