Advanced Search
MyIDEAS: Login to save this paper or follow this series

Accruals Anomaly in Agriculture Financial Economics

Contents:

Author Info

  • Arthur, Bruno
  • Katchova, Ani L.

Abstract

This study investigates the stock prices of the US agriculture industries with regard to anomalous abnormal returns. Do the Accrual Anomaly documented for the entire US stock market less the financial institutions persists in the US Agriculture Industries? Using the risk-free trading strategy of Sloan (1996), which takes a long position on firms with low accruals and a short position on firms with high accruals, we compare ten portfolios formed by sorting the firms on increasing magnitude of accruals for each main component of the US agriculture. We use the SIC and NAICS codes on the U.S. Department of Agriculture (USDA) classification of the six agricultural industries to merge the balance sheet and income statement data from Standard & Poor’s COMPUSTAT with the farms and farm related firms stock prices from the Center for research in Security Prices (CRSP). We find no convincing evidence of positive abnormal returns for the stocks of US farm and farm related firms, agricultural input firms, food supply chain firms and indirect agribusiness firms. This result suggests that more scrutiny of the stock prices for the US agriculture related firms with regards to the

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://purl.umn.edu/119822
Download Restriction: no

Bibliographic Info

Paper provided by Southern Agricultural Economics Association in its series 2012 Annual Meeting, February 4-7, 2012, Birmingham, Alabama with number 119822.

as in new window
Length:
Date of creation: Feb 2012
Date of revision:
Handle: RePEc:ags:saea12:119822

Contact details of provider:
Web page: http://www.saea.org/
More information through EDIRC

Related research

Keywords: stock returns; financial assets in agriculture; accrual anomaly; Agricultural Finance; Q14; G11;

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Fama, Eugene F. & French, Kenneth R., 1997. "Industry costs of equity," Journal of Financial Economics, Elsevier, vol. 43(2), pages 153-193, February.
  2. Konan Chan & Louis K. C. Chan & Narasimhan Jegadeesh & Josef Lakonishok, 2006. "Earnings Quality and Stock Returns," The Journal of Business, University of Chicago Press, vol. 79(3), pages 1041-1082, May.
  3. Carlos J. Trejo-Pech & Richard N. Weldon & Lisa A. House & Michael A. Gunderson, 2009. "The accrual anomaly financial problem in the food supply chain," Agribusiness, John Wiley & Sons, Ltd., vol. 25(4), pages 520-533.
  4. Carhart, Mark M, 1997. " On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March.
  5. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
  6. Fama, Eugene F & MacBeth, James D, 1973. "Risk, Return, and Equilibrium: Empirical Tests," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 607-36, May-June.
  7. Ashiq Ali & Xuanjuan Chen & Tong Yao & Tong Yu, 2008. "Do Mutual Funds Profit from the Accruals Anomaly?," Journal of Accounting Research, Wiley Blackwell, vol. 46(1), pages 1-26, 03.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:ags:saea12:119822. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (AgEcon Search).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.