Accruals Anomaly in Agriculture Financial Economics
AbstractThis 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
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Bibliographic InfoPaper provided by Southern Agricultural Economics Association in its series 2012 Annual Meeting, February 4-7, 2012, Birmingham, Alabama with number 119822.
Date of creation: Feb 2012
Date of revision:
stock returns; financial assets in agriculture; accrual anomaly; Agricultural Finance; Q14; G11;
Find related papers by JEL classification:
- Q14 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Finance
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
This paper has been announced in the following NEP Reports:
- NEP-AGR-2012-02-08 (Agricultural Economics)
- NEP-ALL-2012-02-08 (All new papers)
- NEP-BEC-2012-02-08 (Business Economics)
- NEP-CWA-2012-02-08 (Central & Western Asia)
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