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

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Author Info
Katsuhiko Muramiya (Research Institute for Economics and Business Administration, Kobe University)
Kazuhisa Otogawa (Graduate School of Economics, Kobe University)
Tomomi Takada (Graduate School of Economics, Kobe University)

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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 Format: application/pdf
File Function: First version, 2008
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Publisher 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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Related research
Keywords: Abnormal accruals; Market microstructure; High-frequency data; Informed trader;

Find related papers by JEL classification:
G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
M41 - Business Administration and Business Economics; Marketing; Accounting - - Accounting - - - Accounting

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