Abstract

http://ssrn.com/abstract=971007
 
 

References (37)



 
 

Citations (7)



 


 



Who, if Anyone, Reacts to Accrual Information?


Robert H. Battalio


University of Notre Dame - Department of Finance

Alina Lerman


Yale School of Management

Joshua Livnat


New York University

Richard R. Mendenhall


University of Notre Dame - Department of Finance

March 18, 2009


Abstract:     
We show that the vast majority of investors ignore value-relevant accruals information when it is first released, but that investors who initiate trades of at least 5,000 shares tend to transact in the proper direction. These investors trade on accruals information only when the previously-announced earnings signal is non-negative. Unconditionally, those investors initiating the smallest trades appear to respond to accruals in the wrong direction, but further investigation suggests this behavior is explained by their attraction to attention-grabbing stocks. Finally, we find that those who trade on accruals information have insufficient market power to mitigate the accruals anomaly.

Number of Pages in PDF File: 49

Keywords: Market efficiency, Anomalies, Accruals, Earnings

JEL Classification: G14

working papers series





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Date posted: March 20, 2007 ; Last revised: December 3, 2010

Suggested Citation

Battalio, Robert H. and Lerman, Alina and Livnat, Joshua and Mendenhall, Richard R., Who, if Anyone, Reacts to Accrual Information? (March 18, 2009). Available at SSRN: http://ssrn.com/abstract=971007 or http://dx.doi.org/10.2139/ssrn.971007

Contact Information

Robert H. Battalio
University of Notre Dame - Department of Finance ( email )
P.O. Box 399
Notre Dame, IN 46556-0399
United States
574-631-9428 (Phone)
574-631-5255 (Fax)
Alina Lerman
Yale School of Management ( email )
135 Prospect Street
P.O. Box 208200
New Haven, CT 06520-8200
United States
Joshua Livnat
New York University ( email )
44 West 4th Street, Suite 10-76
Stern School of Business
New York, NY 10012-1118
United States
212-998-0022 (Phone)
212-995-4004 (Fax)
Richard R. Mendenhall (Contact Author)
University of Notre Dame - Department of Finance ( email )
330 Mendoza College of Business
Notre Dame, IN 46556-5646
United States
574-631-6076 (Phone)
574-631-5255 (Fax)
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