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Abnormal Accrual, Informed Trader, and Long-Term Stock Return: Evidence from Japan

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  • Katsuhiko Muramiya

    (Research Institute for Economics & Business Administration (RIEB), Kobe University, Japan)

  • Kazuhisa Otogawa

    (Graduate School of Economics, Kobe University, Japan)

  • Tomomi Takada

    (Graduate School of Economics, Kobe University, Japan)

Abstract

This study examines the association among abnormal accruals, long-term stock returns, and probability of informed trading. Some analytical and empirical research for postearnings announcement drift provide evidence that a high arrival rate of informed traders helps stock prices become more efficient. We focus on the abnormal accrual anomaly, and investigate these studies' implications using data from the Tokyo Stock Exchange in Japan. Consistent with these studies, we show that stocks with a high probability of informed trading exhibit less abnormal accrual mispricing relative to stocks with a low probability of informed trading.

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File URL: http://www.rieb.kobe-u.ac.jp/academic/ra/dp/English/dp233.pdf
File Function: First version, 2008
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Bibliographic Info

Paper provided by Research Institute for Economics & Business Administration, Kobe University in its series Discussion Paper Series with number 233.

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Length: 38 pages
Date of creation: Dec 2008
Date of revision:
Handle: RePEc:kob:dpaper:233

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Keywords: Abnormal accruals; Market microstructure; High-frequency data; Informed trader;

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