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

Author

Listed:
  • 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.

Suggested Citation

  • Katsuhiko Muramiya & Kazuhisa Otogawa & Tomomi Takada, 2008. "Abnormal Accrual, Informed Trader, and Long-Term Stock Return: Evidence from Japan," Discussion Paper Series 233, Research Institute for Economics & Business Administration, Kobe University.
  • Handle: RePEc:kob:dpaper:233
    as

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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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    References listed on IDEAS

    as
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    3. Chan, Louis K C & Hamao, Yasushi & Lakonishok, Josef, 1991. " Fundamentals and Stock Returns in Japan," Journal of Finance, American Finance Association, vol. 46(5), pages 1739-1764, December.
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    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

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

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • M41 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting - - - Accounting

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