What Do We Learn from Two New Accounting-Based Stock Market Anomalies?
Journal of Accounting and Economics, Vol. 38, Nos. 1-3, 2004
16 Pages Posted: 20 Apr 2014
Date Written: December 1, 2004
Hirshleifer et al. (J. Account. Econom. 38 (2004)) and Taffler, Lu and Kausar (J. Account. Econom. 38 (2004)) document large and statistically significant abnormal returns from trading on balance sheet data and audit opinions. However, the statistical tests ignore high transactions costs, especially for selling short, that would likely make the trading strategies unprofitable. The accounting anomalies literature is adding little to what we know about how and why markets operate more or less efficiently. I identify some research questions and opportunities, highlighting those with accounting and auditing implications.
Keywords: Behavioral finance; Institutional evolution; Market design; Joint hypothesis; Economic significance
JEL Classification: C43; C52; G14; G18; M40; M41
Suggested Citation: Suggested Citation