The Accrual Anomaly in the Greek Stock Market

Investment Management and Financial Innovations, Vol. 13, pp. 322-333, 2016.

Posted: 10 Aug 2016

See all articles by George A. Papanastasopoulos

George A. Papanastasopoulos

University of Piraeus - Department of Business Administration

Dimitrios D. Thomakos

University of Peloponnese - School of Management, Economics and Informatics; University of Bologna - Rimini Center for Economic Analysis (RCEA)

Andreas Tsalas

University of Peloponnese

Date Written: August 8, 2016

Abstract

The authors examine the negative relation of traditional accruals and % accruals with future returns in the Greek stock market. Positive abnormal returns from hedge portfolios on both accrual measures summarize the economic significance of this negative relation. The magnitude of returns obtained from traditional accruals is higher than that obtained from % accruals, contrary to existing evidence from the U.S. capital market. The analysis suggests that the accrual anomaly appears to be present in the Greek stock market: this has macroeconomic implications because firms with low reported accruals may exhibit higher stock returns and at this time, during the ongoing Greek capital market crisis, investors are more likely to gain substantial abnormal returns in the future – if and when the Greek economy returns to positive growth.

Keywords: accrual anomaly, Greek stock market

JEL Classification: M4

Suggested Citation

Papanastasopoulos, George A. and Thomakos, Dimitrios D. and Tsalas, Andreas, The Accrual Anomaly in the Greek Stock Market (August 8, 2016). Investment Management and Financial Innovations, Vol. 13, pp. 322-333, 2016.. Available at SSRN: https://ssrn.com/abstract=2819979

George A. Papanastasopoulos (Contact Author)

University of Piraeus - Department of Business Administration ( email )

80, KARAOLI & DIMITRIOU,PIRAEUS
Piraeus, 18534
Greece

Dimitrios D. Thomakos

University of Peloponnese - School of Management, Economics and Informatics ( email )

Department of Economics
22100 Tripolis
Greece
+30 2710 230139 (Fax)

HOME PAGE: http://es.uop.gr/

University of Bologna - Rimini Center for Economic Analysis (RCEA)

Via Patara, 3
Rimini (RN), RN 47900
Italy

Andreas Tsalas

University of Peloponnese ( email )

Tripolis, 22100
Greece

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